@Huy > Let me explain your current setup.
The DDJ-WeGO controls the audio being mixed in VirtualDJ - that is, the audio manipulation occurs within your computer. By contrast, the RMX-1000 takes that audio source and manipulates it "outside" of the computer. Therefore, the computer can only record what is mixed on the computer and why you are not able to record the RMX.
What you need to do, therefore, is to route the audio from your computer (the DDJ-WeGo output) to the input of the RMX-1000 and from the output of the RMX-1000 back into recording software on your computer. I would recommend you use something like Audacity to record the mix and not VDJ.