@Christian > There could be problem with the player trying to find the directory of the file you have exported from Rekordbox. This could be caused by a single change to the file or somewhere along it's path.
Does this happen with all of your tracks or only some?
I would suggest making sure your tracks play properly in Rekordbox first, then also make sure your tracks play properly in their playlists if you export them from a playlist. Once you are sure the tracks play properly, export them to the USB device and test them on your CDJ.
If it works, I believe it was just something with the file path, but if it doesn't, try to get the name of the error code and send it in your next post.
Thanks,
Foster