Sorry to hear that -- are you sure it's wired correctly? That's the number one culprit for the EFX or RMX units not working properly. Also, with the DJM-900NXS2, it's important to note that the uses an AUX/INSERT style send return that can be configured to work in different ways...
If you have the switch in the wrong position, or the level is down, or the button not engaged, it won't work as expected. Additionally, if you have it set for AUX, you then need to change the input selector on one of the channels to be RETURN AUX.
Please let us know how it's wired and being used, we can certainly help you out.