Yes you have misunderstood.
Without anything connected to the 9 pin connector how can you expect to see anything. I thought you had it connected to a PC.
At the very least you need a null modem, that sounds fancy but is simply a wire from the TX to the RX on the 9 pin connector.
Then anything you send through software serial you will get back through software serial, which you can then send through the normal serial and see on your PC.