I have the same thing, depending on the bluetooth headset.
Using my Motorola Oasis, I have no system sounds or audio (music) and the volume is a lot lower than my Jawbone Icon. But, the caller does not have an echo.
Using the Jawbone Icon, I have a full feature set, including phone call audio, system sounds and music- but the caller hears an echo. My headset volume and the caller volume is much louder. I also don't think the noise reduction stuff works as well.
Seems to be a software problem.
I had none of the Jawbone echo issues with my HD2 using WM 6.5. I also had full audio features with the Motorola Oasis using WM.
Just an update. I had my HTC Amaze 4G replaced last Friday, the 11th. T-Mobile wanted me to try with a different Bluetooth Headset connection. I used my Garmin 760 GPS and had the same problem. The bad news is that the replacement phone has the same problem. This also leads me to believe the problem is software not hardware.