With the Play Electric, I have no guitar in the headphones when 'thru' is connected. Is this normal?
This is typical of the Play Electric. If you are using the guitar 'thru' output, it stops the signal right at the thru. In this case, it is not passing any audio passed the 'thru' output and you will not hear any guitar in the headphones.
However, if you are using the guitar 'out', the guitar sound will be present in the headphones.