Why did DDJ-SZ2 does not support REKORBOX DJ?

No - sorry, the DDJ-SZ2 is not rekordbox-compatible. While yes, this is a Pioneer DJ product, not all of our equipment is designed for use with rekordbox. The SZ2 is a Serato DJ controller (which does also support MIDI), but in our partnership with Serato, we have released this device without rekordbox compatibility so it is not marketed or sold as such. You can find a list of rekordbox-compatible devices here.