Hi. The level of signal being sent out from the pre out connections is controlled by your volume control, so you likely had a signal but one that was too low to hear. As far as I know, there should always be a signal from those outputs.
As for the best connection to use, I'll leave that to the folks here that use headphone amps. If no one chimes in, you could always try out the other analog audio outputs to see if any provide a better signal - that way you'll know for sure because you did it yourself. My guess is that the VCR output is as good as the others, though.