Official comment
Alejandro,
If you are using the audio output of your computer instead of the DDJ, you will not hear the microphone over the output (nor will the headphone cueing of the DDJ work properly). If you want to use the mic connected to the DDJ, it will not be captured by the computer as the DDJ-400 does not feature an audio input; the mic is direct to master.
You could use a 3rd party audio interface (such as the iRig) to capture the audio for recording or streaming.