Official comment
The difference with the CDJ-2000 is that it doesn't disconnect the audio device, thus dropping the audio (like your CDJ-850 does, as it only has one USB connection that switches between the host and device connections).
So to answer your question, when you have the CDJ-2000 connected as an aggregate audio device, and then switch to a USB connected to the player itself, it won't disconnect from the computer, allowing you to switch between sources.