How to set up my digital piano with just an Iphone

Hello, digital newbie here, looking for basic set up advice.

I am planning to buy a Studiologic Numa Compact midi controller. It has Midi out via 5-pole DIN as well as USB.

To connect it to an Iphone, I need at least a USB to Lightning adapter.

But I want to get the sound from headphones or loudspeakers, not the Iphone. So somehow the sound from the piano models should get "back into" the midi controller, so that I can either use the headphone out on the midi controller, or the audio out.

Do I need anything else to get this to work?