I'm having the exact same problem. The DDJ SX is connected to my MacBookPro with a USB cable that I know to be in working order. I start the DDJ SX while holding down the shift and sync keys. The volume meters flash. I let go. When I run the Java app it says my DDJ SX is not connected.
I've rebooted. I've tried doing things in different orders. I've tried with the Serato DJ software running and with it not running. I've tried re-running the Java app. I've turned the unit off and on. Nothing works.