This has been a feature of Rekordbox for as long as I can remember. You need to include Rekordbox in the pane
System Preferences -> "Security and Privacy" -> Privacy -> "Full Disk Access" .
However if you use the Rekordbox SyncManager (which I highly recommend) then there is a pitfall you need to know about. Otherwise you run the risk that the host Rekordbox will erase/modify the guest's CDJ USB. I talk about it in this live stream:
Another thing, I've developed a tool that will make your entire Rekordbox collection portable (on an external drive) for sharing temporarily with another Rekordbox collection, maintaining cues, loops etc. The tool is MacOS only, but the resulting drive can be shared with both MacOS and Windows Rekordbox collections.
Shareable backup from a Rekordbox or iTunes collection for back-to-back preparation and more