Offizieller Kommentar
The owner's manual (also found inside the box beside the CDJ-900nexus) tells you that you need to connect not only the ethernet (LINK) to a switch, but also each deck's audio output to a channel on your mixer and the player number on the CDJ display should match the mixer's channel if you want the on-air to work properly.
It's a shame to pay that much and not use all the contents of the box, wouldn't you agree? ;)