Delta 1400 Seriers Shower Single handle faucet
I'd be willing to bet in this case, that your check valve on the recirculating line has failed. When you turn on the shower, the incoming cold water is taking the path of least resistance (shortest distance of piping) and going past your failed check valve and through the return line to the shower. I'm guessing that your lavatory is further upstream on the recirculating line and turning that one on pulls hot water through the hot water line.
That's what i'd check anyway.