Official comment
The CDJs will only link when you are in EXPORT mode. This basically makes rekordbox act like a USB drive with a keyboard and screen. If you're unable to connect, it could be your firewall is blocking the connection. Please check this guide to troubleshoot and read from the "Can't get your players to link" section.
If you want to use your CDJs as controllers for rekordbox in PERFORMANCE mode, you'll need to connect them each via USB, and then run your audio outputs from the CDJs to the DJM. My recommendation would be to use the digital output / input.
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