First, verify that your send/return cables are connected properly - I've seen DJs connect them in reverse and while it may work for a loop, it won't work for the AUX.
Set the effect channel selector to CH1 with audio playing on that channel.
Turn the CH2 input selector to RETURN AUX and ensure the channel trim is not all the way down.
Set the RETURN TYPE to AUX.
Press the ON/OFF button for the SEND/RETURN.
Check that your RMX has signal being input and output, you should also see signal on CH2.