Official comment
First, for using the CDJs as HID controllers in PERFORMANCE mode, link them to each-other and the DJM via ethernet, and you can use the LINK EXPORT tool to bridge the USB > ethernet so only one device has to be connected via USB - typically this would be the DJM as it's being used as the audio interface. (It's really a genius configuration if you ask me!)
What won't work is "on-air" as that's not supported in PERFORMANCE mode regardless of the configuration.