The behavior you described is intentional, and it's known as "side tone". It is a psycho-acoustic phenomenon, whereby, if you don't hear anything at all in your ear when you speak, your brain gets confused (it would be like talking while you firmly cover your ears or wear earplugs). So, a slight amount of audio is fed back to the earpiece.
You can turn down the value until it seems right to you. You can also play with the other headset audio settings to get it to your preference. See my settings below (this is for the several-generations-newer Jabra 9470, but its settings are pretty close to the 9125).