The P-125 might have a way to turn off its MIDI output. I'm looking at the 2-page P-125 Quick Operation Guide, and on page 2, under "Other Settings," there are four keys used for setting the "MIDI Transmit Channel," with the fourth key being "Off." So try this and see if it does what you want:
METRONOME + RHYTHM + C4 -- This decreases the MIDI Transmit Channel number by 1.
METRONOME + RHYTHM + C4# -- This sets the MIDI Transmit Channel number to its default value of 1.
METRONOME + RHYTHM + D4 -- This increases the MIDI Transmit Channel number by 1.
METRONOME + RHYTHM + D4# -- This sets the MIDI Transmit Channel to "Off."
Yamaha doesn't use International Pitch Notation numbering to refer to the notes on their keyboards, in which C4 is used to identify Middle C.
Instead, Yamaha refers to Middle C as C3, so D4# is the D# key in the octave above Middle C.