It might be what mark said. When I first heard the HJE900(in the NYC subway, of all places), it was almost like a big acoustic slap in the face, compared to my older headphones, lol. I wasn't sure what to make of it. Fortunately I rapidly adapted to the sound and ended up loving it, but that is not and will not be the case for everyone. I was, like you, coming from Senns(but PX200-II in my case, great portables), and coming from such a laid back, slightly warmer than neutral sound sig was really quite a shock. Even my sisters FC700s and my beloved RX700s, which are more V shaped and thus sound more similar to the HJE900s sound sig, felt very different. I was so caught up with the difference in overall sound signature that I didn't even realize how much more detail I could pick up from the HJEs, at first. The CX300s, from what I've read, are probably warmer and bassier than my PX200IIs, but I assume the same typical Sennheiser laidback-ness is present. Really though, pretty much HP I've heard seems laid-back compared to the HJEs, depending on what kind of music I'm listening too. I guess I just like them that way.
Also, check to see if there is a seal issue. The tips for the HJE900 are, I believe, too small for the western market, I think. At first I was using the included mediums, since stock mediums from any company had always been perfect for me. But when I compared them to some cheap IEMs I had lying around, I noticed the mediums on the Pannys were quite a bit smaller than the mediums on my SKs. The largest included tips were actually almost exactly the size of the medium Skullcandy ones. I'd recommend you try the tips on your CX300 on your HJE900 for a while, I use them both cord up and cord down, and never really have an issue with weight using proper tips. I've also noticed using Sleek Audio cables makes them feel alot lighter, since it's a thinner and lighter cable.
So yea, I'd recommend you mess around with tips, try the large included tips or the medium senns, which should be about similar size. You could also try foam tips for added fit, seal, and treble taming. I personally strongly dislike foams on these, since they tame the treble wayyy too much, but I just ordered some Monster Supertips to see if they alleviate that issue.
Then try to let them burn in mentally for a week or 2, and if you don't warm up to them not, sell or trade them; I'm sure you won't have much trouble finding an offer here.