Ok, now I get what you want - listening to just the fx channel. That was a little unclear in your posts.
The control room setup for the Listening Bus is straightforward (though CR can do much more). Just hit F4, enable Control Room, set your outputs in the CR tab to your mains and now - important! - go to the Output tab and set your outputs to “not connected”.
What’s happening? You’ll hear Cubase just as before, not through the Outputs but instead through the CR now, which makes no difference but you’ll see that the L-button on your channels is now usable. That’s the Listen Bus.
Now check your Control Room mixer. It resides in the right zones of mix console and project window or as a seperate Control Room window.
If you press that L now on a channel, you’ll hear that channel(s) purely (not through the consequent channels/master channel), if you set the Listen Dim bottom right all the way down. This slider enables you to hear the channel in context if you turn it up, in any relation - without changing individual channel levels.
Also you have an easy way to enable and level the Click. Control Room is fantastic 