It may not be possible to hear both the live guitar and the recorded track through your headphones at the same time with that equipment.
To hear the live signal from the DNAfx without a delay, you have to use the DNAfx headphone jack.
To hear the recorded tracks through your headphones you have to plug your headphones into the “Playback” device that is selected in the Device Toolbar.
I don’t know if the DNAfx will work as a playback device. If it will, then you just need to select the DNAfx as the playback device in the Device Toolbar, but I don’t know if the DNAfx supports that functionality.
On page 45 of your manual, Section 6.7 OTG function, it says, “The device can be used as an audio interface with a smartphone or tablet.
Connect the device to a smartphone or tablet using an OTG cable. The device is connected for recording audio or video recordings on the mobile
So I take that to mean you can only record using the OTG function. I am hopeful (I do not know) that the other USB port will give you full record/playback functionality.