Nothing obvious about it at all. When someone shows up and has their 2nd or 3rd post on the forum asking for help with a problem, the best guess is that they're new to the AxeFX, and everything, no matter how simple, is in consideration as a cause.
The headphones suggestion from ChainOfThought is really good, as it cuts out all other considerations of external power amps and off-board equipment issues. You should try it and let us know how it works.
Using a factory preset is also a good idea, as it cuts out any errors you might have made in setting up your own preset. A unmodified factory preset through headphones would be the best test. Make sure the output 1 volume knob is turned up. If you still have problems, I'd recommend a factory reset and then try again without touching any other settings. This should rule out anything you might have inadvertently messed up when you first started working with the unit. The AFX should work reasonably well with any guitar straight out of the box into headphones.
If you do that and you still have problems, I'd suggest called Fractal for support.
If a factory preset works into headphones, but not your own preset, then you can upload your preset here and someone will be able to tell you what's wrong with it pretty quickly.
Also, perhaps obvious, your speakers are powered, right? I don't think the Focusrite acts as a power amp.