As I understand it and I may well be wrong - the AVI Headphone zone you have set up is a local zone like the Player zone, hence you can apply DSP settings to it. When linked to the external AVI zone both zones have identical output. So if you switch between them you will be listening to the linked AVI Headphone zone output.
Could you explain how you previously played audio to your AVI, there is a possibility to do what you want in a different way according to the way you are setup.