Official comment
I just tried with a pair of CDJ2000NXS2's at firmware 1.10 and it does indeed disconnect and in the process, interrupts the audio playback on the OTHER device, and here's why... rekordbox is playing through a set configuration of audio devices (for Mac, an aggregate, for PC, a combined driver), when you disconnect the USB from one of the players, that configuration changes and the application using that audio device recognizes the change, disconnects and reconnects the audio device.
My recommendation is as follows:
When switching DJs, the second DJ should load a USB device into one of the players, mixing out of the first DJ's track. ONLY once the CDJ with the USB device is playing from that source should both USB cables be swapped from DJ one to DJ two.