I´ve been working with mytag a lot in the last 6 months, and usually it works well, but then without a reason, rekordbox stop adding the tags to my files. It might be a bug i guess.
Otherwise, I would recommend you to check if your physic files are not locked to read only on your system, or if your files are wavs... it wont write the information (because wavs has no comment tag). Or maybe changing the format of your id3. Try doing it on itunes; Right click/convert id3 tags, to update them to a newer version.