Because you have your audio device set to your speakers and not the DDJ-RB.
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Sound is playing fine through the computer speakers, but I am getting no sound out of the attached headphones.
I have tried playing with all the setting but no use.
I have selected driver and run the software, as well as selecting 'setting utility' but when I do this it comes up with "selected audio advice does not have setting utility".

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Because you have your audio device set to your speakers and not the DDJ-RB.
I am having the same problem but I don’t have option to change the audio device, just says built in audio.
Actually I found the fix here https://www.pioneerdj.com/-/media/pioneerdj/downloads/other/troubleshooting/troubleshooting_highsierra_003_e.pdf