Jecht has free will of whether he wants to go to DZ or Spira, while as Sin. The first time he was taken to Spira, was supposedly an accident, when the former Sin came too close to DZ, and Jecht went a bit too far out into the ocean to train. Supposedly, the game doesn't elaborate much further; but the Ultimania guide does (not that I've ever read it, so I would not know about anything in it).

How and why Sins would want to see DZ is a completely different story, one I would not be the best to explain.