But if I cannot play the internal sound with the Sylphyo Bench, is there another possibility to play the internal instruments apart from headphones, the amplifier and the "Sylphyo with PC via Audio Out" solution?
Another option is to plug the Sylphyo audio out into powered speakers. Powered speakers are similar to an amplifier in that they contain both an amp and loudspeakers, but they're designed to be used with a computer or other source. Most computer speakers (like Audioengine, Klipsch ProMedia) are powered speakers, so most people already have them.
Look for an "aux in" (3.5mm AKA 1/8") plug on your computer speakers. As an example, on the Presonus Eris E4.5, the aux in plug is 1 of the 2 small plugs on the front: E4.5 photo. You only need the speakers and the Sylphyo, no computer, audio interface, or Link.