Question With the VoiceLive Play GTX, I have no guitar in the headphones when 'thru' is connected. Is this normal

This is typical of the VoiceLive Play GTX. 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.