DJM900NXS2 x RMX1000 - RMX can't apply effects

See this short video for reference: https://www.youtube.com/watch?v=8JLqIaXY_uc

I have an DJM900NXS2 x RMX1000 setup. DJM is on Send/Return (Insert).

I am able to play effects coming from the RMX1000. However, I am not able to able to play with the incoming sound from the DJM as you can see there in the video.

What am I doing wrong?