Looking at that last one, is it really just a wiring adapter from the XLR mic to the PC mic jack? That's probably not the problem that you're asking about, but you're erasing the entire benefit of XLR by doing that.
I'd recommend a USB interface that has an XLR jack on it, and its own physical gain knob. Run the XLR mic into that, and keep the headphones off of it for the moment, just to make sure that you don't have an accidental path for the 'phones to get into the mic. Then, if the interface has a headphone out, you can move the 'phones there too and test it again, because it's probably a better 'phones driver than the built-in thing too.
I wonder if your built-in soundcard is failing, so that it adds this path:
The only reason I can see for it to do that is if the electrical layout engineer really screwed up the analog audio part......but considering that the inside of a PC case is a terrible environment for analog audio anyway, I wouldn't be surprised either. It's just not worth making it good in that kind of environment.
If it has all kinds of stupidly-high specs and flashy eye-candy with a (supposedly) big-name audio brand on it, then all of that is designed to sell, not to be effective. The built-in audio connection is still bad, and always will be.
If it works, that's great, but don't rely on it for anything important.