It's the microphone in the Kinect that gives the feedback. And the kinect mic will pick up any sound in the room - including your game sound. The only way (that I know of) to stop this is to use headphones. With headphones you can turn down the game volume and turn up the chat volume so the other gamers do not hear your game and you can only hear their voices.
Connect headphones to your xbox is very specific to how you have your xbox connected to your TV and your audio. On amazon there was a video of how to connect your headphones. If you look up turtle beach headphones - probably could find it on their website as well. It's a little complicated, but I watched it a couple of times before I got it. I imagine there would be videos on you tube as well for other headphones. I had to buy a special connector because of the way we have our HDMI set up.
I can't imagine playing Zumba with headphones on though, but it's great for other games. Good luck.
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