Commentaire officiel

That's because you need to set the Audio device as the DDJ-RB ASIO for the audio to be sent to the RB in order to assign the headphone output.
If you want to have the audio come out of your PC speakers (or speakers connected to your main computer audio device), simply enable the PC Master Output up at the top-right of your rekordbox window:
It will illuminate blue when it's enabled.