The number of channels should be set to 2, barring enabling Dolby Headphone (see below), as you headphones are stereo.
When using a headset connected to the headphone amp, set the output to headphones. You can set the gain for the headphones as needed. (For most, no gain is required, though low gain can help drive volume on some headsets.) When using the 3.5mm output jack, set to speakers.
Same rate really shouldn't matter, as the difference is negligable. Barring having an audio collection encoded as 96KHz, set to 48KHz and forget about this one. All this setting really does is set what the final output sample rate is, and you do add a VERY slight delay if the card has to resample the final output. Most audio is 44.1 or 48KHz anyway.
Don't bother with the windows control panel; the speaker output setting is slaved to the 'Number of Channels' setting in the DGX's control panel.
If you want to enable Dolby Headphone (basically, virtualized surround sound), set the number of channels to either 5.1 or 7.1, and enable the Dolby Headphone option (and optionally, the 7.1 speaker shifter).