Never heard of something like this. I wonder if you have some type of computer problem. When you jog, the ONLY time it should move is when pulses are being generated. The ONLY way for pulses to be generated is if the computer is pumping them out (key depressed).
TAB, brings up the virtual pendant. You may want to see what mode you are in (step, continuous) and look and see what keys you have assigned for your jogging. I like setting up the jog on the 10 key, but everyone is different.
CNC is a steep learning curve, but not insurmountable. One step at a time. First step is getting used to the controller (Mach). It has a ton of functionality, but you need to know the basics first. The videos suggested are good, and the manual is a great resource.
Don't be afraid to ask questions either. When we don't, we tend to get grumpy and frustrated when we can't figure it out.
Direction, Commitment, Follow Through