the cdj2000 Nexus will not save on the deck but will save "user settings" you set in RB and export onto a flash drive, sd card or when linked to the decks from the computer.
go into RB settings/export/my settings and set them all, then when you export to a drive it saves those settings. When you plug into a CDJ2000 (nexus only) and hit USB, it will tell you you have settings saved, hit "menu" then "load"