If you talk about hot cue you have to recal them when yo load the track to the CDJ! Under the hot cue buttons you have a recal button you ned to hold down and hitt each hot cue button to load them up.
In Rekordbox you can go to preformenc and set (auto load hot cue) then the cdj auto load the hot cue's for you :-)
But if you are talking about cue points you set at the beginning of the track you have to press memmory button in rekordbox to save the cue point. You can save up to 10 cue points or loops per track. If you want to save a loop you just make a loop and press the memmory button. You can also do all this on the cdj, set cue points and hit memmory or take a loop and hit memmory and it shows up in rekordbox when you connect the flash drive to the computer!!
I suggest you read the manual to find all the good things you can do with rekordbox! :-) its all easy explaind.
Her is the link from pioneers own home side
I hope some of this is helpfull for you :-P