I have exactly the same issue, so I don't think it's a unit defect thing....as such.
I purchased this mainly because it was sold like it could connect to everything and work flawlessly, but when using this with Rekordbox performance mode its still missing a few elements. One gripe I have is that the PAD FX aren't post fader meaning your fx is applied within software and then sent to the XZ. This millisecond delay or whatever it may be causes the quantized FX to sound rubbish - particularly when using the Trans effect on 1/2 beat.
A good way to prove this is change your audio output within the rekordbox preferences to 'built in output' then activate a pad fx (using keyboard / mouse / whatever you have) .... the FX now sound spot on again.
Unfortunately this workaround means that you have to start mapping the XZ for various controls, some of which aren't available to map. And you'd then have to route the audio from your laptop to a USB interface, or back into the XZ and use the Aux channel.
A 'fix' would be to make the routing the same as the DDJ-1000 but I'm not hopeful.
Oh, and to add to this, you will find the same 'fault' if using ANY DJM series mixer. The only way it works properly is if you use a dedicated controller (DDJ series). Pioneer have previous told me that it is impossible to route a DJM mixer like a DDJ controller (although the DDJ 1000 can work in stand alone mode...). I think this is why I had high hopes for their latest XDJ