De acordo com wikipedia você está correto, ele está encaminhando através de sua conexão:
Remote to remote mode[edit] In the past, in remote-to-remote secure copy, the SCP client opens an SSH connection to the source host and requests that it, in turn, open an SCP connection to the destination. (Remote-to-remote mode did not support opening two SCP connections and using the originating client as an intermediary). It is important to note that SCP cannot be used to remotely copy from the source to the destination when operating in password or keyboard-interactive authentication mode, as this would reveal the destination server's authentication credentials to the source. It is, however, possible with key-based or GSSAPI methods that do not require user input.[2]
Recently, remote-to-remote mode supports routing traffic through the client which originated the transfer, even though it is a 3rd party to the transfer. This way, authorization credentials must reside only on the originating client, the 3rd party.
Para fazer o que você quer e evitar o roteamento de tráfego de terceiros, você precisa configurar as chaves ssh.