So after deciding that I wanted to use my UR28M for live performance, I had to revisit this issue to find a solution.
rips suggestion for using the digital i/o was sounding like the most logical step, but still a ‘workaround’.
However, I have finally found a solution that should satisfy everyone!
The problem is that so many audio players do not support the ASIO drivers. So I found a player called AIMP3, which supports ASIO out of the box.
After installing AIMP3, I went into the preferences, selected the UR28M interface, but then also selected the extended settings for this and was able to allocate the audio to any (or all) of the available outputs on the UR28M!
So now, when using backing tracks for live performance, I just use AIMP3 and can use the DAW input is dspMixFX in mix 1, 2 and/or 3.