@Christian > There could be problem with the player trying to find the directory of the file you have exported from Rekordbox. This could be caused by a single change to the file or somewhere along it's path.
Does this happen with all of your tracks or only some?
I would suggest making sure your tracks play properly in Rekordbox first, then also make sure your tracks play properly in their playlists if you export them from a playlist. Once you are sure the tracks play properly, export them to the USB device and test them on your CDJ.
If it works, I believe it was just something with the file path, but if it doesn't, try to get the name of the error code and send it in your next post.