@Saylien > I've moved this question to the DDJ topic, in case you're browsing to find it in future.
I hadn't had much experience directly with the Accessibility or VoiceOver settings on Mac, but if there's one thing I know, it's all the other audio systems. So after poking around a bit and experimenting on my WeGO1, I am confident that I have found answers to your questions!
First thing you'll need is to download Soundflower; think of it as a software audio mixing board, allowing you to combine sources and redirect sounds.
After installing, you'll need to restart your computer. Once you're back up, go into the VoiceOver settings, and click on the Sound tab on the left. Set your Output Device to be Soundflower (2ch) as pictured:

While you're there, also uncheck Enable output ducking to prevent the audio from dipping.
Next, open the Soundflower item from the menu bar, and select the PIONEER DDJ-WeGO from the 2ch section:

Go back to the Soundflower item on the menu bar and go to Soundflower (2ch) then Channel 1 and select the 3rd output. Repeat the process for Channel 2 assigning it to the 4th output:

Now load up djay and open the preferences. Set the Main Output to Soundflower (64ch) and select ch. 1&2. Set the Pre-Cueing to Soundflower (64ch) and select ch. 3&4.

You should now hear the VoiceOver on the headphone output without having any headphone cue selected on the WeGO or software. You will NOT the VoiceOver on the master output. There will also no longer be any ducking of the audio when a VO is read!
If, by chance, the WeGO3 has been configured backwards from my WeGO fist generation unit, please reverse anywhere I have said 1&2 with 3&4, and vice-versa.
Please let me know if this works for you.