Official comment
If you want to connect the XDJ-RX to your computer to use rekordbox DJ (with the RX as a controller), you need to connect via USB.
If you want to connect the XDJ-RX to your computer to use rekordbox LINK (with rekordbox simply acting as a source for files; think a hard drive with a screen), you need to connect via ethernet. You can use a USB-to-ethernet adapter on your computer if you have a computer without an ethernet port, but if it the LINK button doesn't appear, it could be due to your networking, firewall, or security settings. Please see this article for tips and troubleshooting ideas.