On Windows computers Reason requires an ASIO audio driver to be able to use audio inputs and outputs simultaneously.
With some ASIO drivers, including ASIO4ALL, only one single application is allowed to use the ASIO driver. Some ASIO drivers also block all other apps from using any other type of audio drivers. This means that if Reason uses the ASIO driver, the Companion app won't have access to it.
The easiest workaround (if you don't record audio all the time) is to switch to a regular DX/MME audio driver on the Audio tab in Reason's Preferences. This will allow for audio output both from Reason and Companion at the same time (but won't allow audio recording).
If/when you want to record audio, simply switch to the ASIO driver on the Audio tab in Reason's Preferences and you're good to go.