Right. JHP's are touch-and-go in a .38 snub like the 850; they just don't build up enough steam to expand reliably. To get your best chance of making a hollowpoint work in a snub, use either the 158 gr. lead semi-wadcutter hollowpoints in +P form, as in the load from Remington, or (my preference) Speer's 135 gr. Gold Dot +P load, which was engineered specifically to work in short barrel .38's.
For just shootin' stuff and practice, nothin' at all wrong with the 125 sjhp.