Official comment
@Whoopi > Well, @Sergio was close... what you actually want is this:
First, set it so when you import / analyse your tracks in rekordbox, they'll automatically have a memory cue added to the start of the track.
Next, set the load preference as follows:
The first setting tells rekorbox to set the main cue to that first memory or hot cue point, and the second tells it to NOT PLAY immediately upon load.
You will always have the cue, but the best way to jump back and keep playing is by assigning the first hot cue to that primary location as well (this is something I do on every track).