The Sonos device I'm talking about is the Sonos Connect. Info is found on Sonos.com.
I get what you're asing about, and the short answer is: no, you don't have to. Part of what separates the Asgard 2 from the original Asgard is the preamp. This means that you connect the Asgard 2 to your DAC, and your stereo to the Asgard 2 preamp output. This way music will play through your headphones when they're connected, and through your stereo when you disconnect them from the A2. Please note that the volume knob on the A2 will then affect the output to your stereo; controlling the volume. This might not be optimal if you're connecting it to a stereo preamp, as you then have two volume controls for the same signal. The best solution then would be to set the A2 to 60%-90% of max volume, and then just use the volume knob on your stereo to get the desired volume.
Another option is a DAC with both balanced and unbalanced outputs. That way you could connect the A2 to the unbalanced outputs, and the balanced to your stereo (if it has got balanced input). Depending on the DAC you should either get sound in both the A2 and stereo, or you choose between balanced/unbalanced via a switch on the DAC. The Sonos Connect has both Coax and optical digital outputs, so you can in theory use two DACs should you so desire. I very much doubt the Connect outputs only to coax OR optical.
The last option is of course to have the cables for both your A2 and stereo behind the DAC, and just insering the one you want at the time. As long as you manage to keep the unused cable in place behind your DAC (so it doesn't fall behind your rack or get pulled away when you move your other cables) this isn't really that impractial.
In any case you should make sure that the Sonos Connect is set to fixed volume, as you'll be controlling volume on the A2 or your stereo. The Sonos volume control would just degregade SQ and make your life harder.
Hope this helps!
Big, big help-Much apprec!