I'll put an update here as I've just rejoined as a sponsor. I know you've probably already resolved this issue.
In the Jura Impressa X9 it has a bank of valves which control the steam/water flow around the system. Depending upon the beverage selection, it will send steam to the cappuccino frother, the hot milk outlet, the steam arm outlet or release the pressure if not needed.
In the scenario that is above, as well as the manual steam arm valve, the cappuccino outlet valve is slightly open allowing steam to escape in that direction. The most likely cause is lime scale. I would initially run the descale process using the Jura descaling tablets. This process is designed to get the descale solution into the valves and to allow them to open/close as controlled.
Hope you resolved your issue.