I had the exact same issue... my ddj sx is connected but java is saying it is not...
verrrrrry frustrating, i downloaded the other installation instructions... hold down shift and sync on the left deck and turn the power on while the usb is connected to the computer with the .jar file. dont let go till you see the level meter blinking. then double click the expanded ddj sx .jar file. A window will open with your version, and the new one listed. hit start. It takes a min or two to update. your ddj sx wil cycle through the lights when completed, click ok. boom you are up to date! hope this helps mang... pz djKABZ