Note, there is no option to turn the speakers off, but the three keyboard parts (Main Voice, Dual Voice, and Split Voice) should each have volume settings in the Function menu (M.Volume, D.Volume, and S.Volume).
Selecting a new voice should set all of the voice parameter functions to their default values for the new voice, so it's unlikely that those three volume settings are the culprits, but you can check them.
On the other hand, there are similar volume functions for the style volume and song volume, and once you set them they will maintain their settings until you change them again, so if you ever notice that the style doesn't seem to want to play then you should check the StyleVol function setting.
My feeling is that a headphones adapter is probably the most likely culprit. Keyboards usually have the larger 1/4" audio jacks for connecting a pair of headphones, whereas headphones these days often have a smaller 1/8" plug so they'll fit the smaller 1/8" jacks which are found on computers and many stereos or other audio devices. That means if you're using headphones with a smaller plug then you'll need a 1/8"-to-1/4" stereo adapter, which looks like a plug without a cable attached. The adapter goes into the keyboard's headphones jack, then the headphones go into the adapter. It's easy to unplug the headphones and leave the adapter in the keyboard, but that will cut off the sound to the speakers, so make sure you always unplug the adapter if you aren't using the headphones.