Official comment
Sorry, there is no direct hardware button to change this on the DDJ-400 itself, but you can assign a keyboard shortcut in the preferences:

When I want to use my new DDJ 400 it will only operate with the wheels on jog mode, I can only scratch. How can I set the wheels to CDJ mode?
Can I do this with Rekordbox, or with the DDJ 400 itself? And how can I do this?
Sorry, there is no direct hardware button to change this on the DDJ-400 itself, but you can assign a keyboard shortcut in the preferences:

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Thanks for the explanation, but when I turn on the program it loads by default scratch and I have to turn it off manually every time. Is it possible to be the opposite?
Unless you're using a controller which starts-up with that mode retained in memory, no - sorry!
Thanks for the answer, I understand that well. In that case, how do I remove the scratch mode at all, because the program remembers the settings and starts each time in scratch mode?
It can't - but I've passed that to our planning team for consideration. Thanks.