These things are usually due to a process with higher priority kicking the sound recording process off the CPU for long enough to drop a buffer. On Windows, I have heard this usually being the result of the wireless driver, which for some insane reason has a very high priority. You basically need to ensure your soundcard is running at the highest possible ...
I have the same sound card, and have never experienced that it's worse in any way.
I'm guessing that you've already done this, but ensure that
All pots are turned all the way down, except the one labeled "Mix" which should be left all the way over to the "DAW" position.
Phantom power is off
Volume control in Windows (or whatever other OS you are using) ...
If it's loud enough via direct monitoring, and loud enough when listening in Audacity, it sounds like there's just a output level difference between your Steinberg interface and your built in computer audio.
Some possible issues:
Microphone Gain turned down in Audacity
Waveform vertically zoomed out in Audacity
Master level of computer audio in the Windows ...
I own the UR22 mk2 and had experienced similar problem before updating drivers (win7 64bit).
If it's correctly plugged into a USB 2 port (usb 3 is buggy on audio interfaces) It can really be only a driver issue or incompatibility and the best course of action would be to directly contact Steinberg or use their suport forums.