Official comment
Hi Jan,
The problem with that splitter is it's stereo:
Input: Jack 3.5mm stereo male,
Output: 2x Jack 3.5mm stereo female
The original splitter provided with the DDJ-200 is to two mono signals; one for left and one for right, with the headphones and master being split between the two.
If one was not included in the box, I'd suggest contacting the retailer or Pioneer DJ support in your country to see if they can provide one for you.