Is your DDJ-400 showing properly in your Audio devices under the Audio MIDI Setup app?
It was all working fine, but I'm having this issue for about 40 days now, and a friend asked me because he is having this too. I have Rekordbox 5.4.3 with MacOS High Sierra 10.13.4.
The issue: when I press CUE headphones buttons either in channel 1 or 2, the audio that should play only in headphones is playing in master output. The settings are below - all fine. I even clicked Reset Settings to check if it was something I changed, but the bug still happens.
I'm not using ddj-400 configured with any other software besides RB 5.4.3.
Please help me, since with this issue the controller is useless.

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Is your DDJ-400 showing properly in your Audio devices under the Audio MIDI Setup app?
It is showing properly.
Can you post a screenshot of that with the DDJ-400 selected for me?
Is there a solution to this problem. I have the same issue.
Cue know makes audio play through master out
Of course, I checked what gear is linked to master output and to headphones output..
This sound goes through headphones out, but also throught master out..
MASTER CUE is unlight.