Make sure the midi out icon is green and you should hear the notes when selected.
That said, I have discovered a bug where this sometimes stops working. The solution is to load a new file (not a template) open the piano roll, add a note, click on it, and it should play as expected. Then go back to the song where it wasn't working, and it should be fine. And yes, I have actually done this and it worked..
What really drives me crazy is that in a recent revision they changed the piano roll note preview to monophonic. No more listening to chords in the piano roll! I can't quite believe they did that. How am I meant to audition and edit chords?