Hey there,
I not too sure about this problem. Here are some things to consider:
Sounds stupid, but before doing any recording, do a simple take and playback, making sure your headphones are plugged in and working. And the mic is capturing the sound source clearly.
I know that there are two record modes with zoom’s MTR. (Select menu > record mode and make sure you’re on ‘always new’).
Remember to hit the stop button after recording. Rewind and play to hear recordings.
If you can get it working, an alternative would be, take the file off the recorder and playback via your laptop with headphones. whilst recording again on the zoom. Not exactly lightening fast workflow.
If you’re going to be doing more of this in the future, I’d recomend a laptop and audio interface set up, for more control and once you master it, easier recordings and edits.