This is normal when companies use cheap DACs and amps for sound replication. The DAC turns on when you play sounds, and turns off when there's a period of no sound. If it's a cheap system, there's a noticeable base sound/noise that is added to your signal.
When you have music playing, that, of course, is drowned out by the music. Thus, you won't hear it unless you have really soft music, say, a few bars rest in your classical album or something.
The problem also is more noticeable with low impedance earphones (IEMs, for example).
A possible, easy way to fix this is to use an inline resistor/impedance cable on your headphones, since typically this noise does not vary with volume (in my experience). Then, you bump up the volume on your device... if it's powerful enough to do it. Otherwise, you'll have to inline resistor, a clean-sounding portable amplifier (powered by additional), and then your headphones. It gets pretty bulky...
Alternatively! Separate your music player and your phone. Unfortunately, the DVP has such a nice Zune interface. And still, with cheap music players you can hear the hiss if you're careful. I can hear this on iPods with my earphones still...
Sorry to hear about this! I was hoping that the sound quality would be decent. I might try to get an HD7 instead now...