Don't worry if you don't have speakers connected to your audio interface - you can still use headphones alone to hear sound from your computer. However, if you have speakers connected to your computer and want to hear sound from your computer while your interface is connected, then you'll need to connect your speakers to the interface.
When using a Digital Audio Workstation (DAW) like Ableton Live or Pro Tools on a Windows system, you'll be using an 'ASIO application' which means that it can only use one device for input and output - either your interface or your computer sound card. You can set it to use separate devices by using the Windows Direct Sound protocol, but this will introduce more latency to your recording - please see Windows' documentation on this.
Connecting speakers to your Scarlett is the best option, as the DAC (Digital Audio Converter) in the Scarlett is better than your computer's built-in sound card and offers higher-quality audio playback.