Maybe due to phase and general strangeness involved when you have two of the same notes doubled with some small latency between.

Typically with a DAW setup you would have MIDI coming back to the keyboard from the DAW and only after this back/forth "loop" is the keyboard's tone generator expected to sound. In standalone the tone generator will be turned on for notes played by the local keys then typically the DAW will echo back these MIDI messages and you get a second doubled note or notes.

If you become familiar with what these buttons do then it will help you understand. Shortcuts are useful but often will hide what's going on and may lead to this kind of confusion if you let something else handle work without digging in.

There are several messages/tutorials that cover what each quick setup template button does.

Some reading ...

https://yamahasynth.com/learn/montage/cubase-setup-guide-workflow-midi-rec-daw

This provides a better summary of the buttons:
https://yamahasynth.com/learn/montage/mastering-montage-getting-started-cubase

Also, a good summary of the templates is here:
https://www.yamahasynth.com/ask-a-question/routing-audio-channels-easy-with-one-click

One form or the other of this information is repeated in many places in the forum. It's "FAQ" material.

ok, thank you, glad to hear I´m not imagining this. I was already questioning my sanity and my ears 😉