Is there a chance that you've somehow assigned the DDJ-400 as the default audio device for the OS? Open the Audio MIDI Setup application and look to see where these icons appear:
In this image, you can see my monitor is set to handle the system alerts, but the speakers are set for the main sound output. If the DDJ-400 has any of these, right-click on the internal device to configure that as the output device.
You can also check the audio configuration in the rekordbox preferences to see if the headphone output is set properly.