Hot Cues/Loops: S9 & XDJ-1000MK2

Fine!

but how I've to connect them? by RCA? because I'm thinkin' how S9 receive infos about HotCues/Loops by RCA audio only.. 

What? You do know how hot cues work, right?

If you're using the XDJs and DJM-S9 with rekordbox, the XDJs are controlling the players and the S9 is your external mixer acting as the audio device. The pads can control functions of the software - hot cues being just one of them. When you press that hot cue, the deck performs the function, but the audio is already coming through the S9 to be output. It doesn't have to "receive" anything.