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Your audio device is selected as the Built-in Output; you need to set it as the DDJ-RR ASIO (Windows) or DDJ-RR (Mac).
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CUE issues on DDJ RR
I'm having trouble with cue on DDJ RR. The cue lights are on, volume, headphones, configuration... The controller's update as well recordbox. 
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It doesn't appear this option. I already install the drive and update the controller.
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@Ilos > Are you on Mac or PC?
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I have the same issue on MAC, can you help me please?
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Hey Denis,
Do you possibly have the DDJ-RR selected as the default output for the system audio? You can check this in the Audio MIDI Settings application, look for these icons and make sure none of them are beside the DDJ:
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