Official comment
The DDJ-400 and Interface 2 can't be used simultaneously, and here's why...
The IF2 is needed to act as the audio interface for the DVS functionality. This device requires an audio mixer be used to do something with the return audio output from rekordbox, which is why it defaults to EXTERNAL mixer mode.
The DDJ-400 has no audio inputs, so can't bring the audio from the IF2, and if you select it as the audio device, there's no input from the IF2 for DVS control. This is why there's no control over the internal mixer from the DDJ controls when the IF2 is selected. If you had another audio mixer, you could use the DDJ-400 to control the FX and many other functions by re-mapping the controls.
Yes, there is a thru-mode; toggle it down in the ABS/REL/INT/THRU vinyl mode selector on the deck.