Heavier bullet weights penetrate better, up to a point. (In handguns, it is safe to assume that the heavier bullet always penetrates better.) OTOH, a heavier bullet will normally be travelling slower, which means that a JHP is less likely to expand.
124 gr is a sort of "optimal compromise" [sic]. It is heavy enough to give decent penetration, and velocities will be high enough for reliable expansion. More importantly (at least in my mind), most European 9mm pistols are designed around the NATO M882 load (124 gr FMJ at @1,200 fps). In CZs, I consistently get better groups with 124 gr loadings.