Comentário oficial
There are a few different ways to use the XDJ-RX but here are the differences between the two you are describing:
1. Performance mode with Rekordbox DJ
Hardware Connection: USB cable between XDJ-RX and laptop.
In this mode the XDJ-RX acts as a midi controller and controls the functions of the Rekordbox DJ software on your laptop. The XDJ-RX also acts as a soundcard, so whatever is mixed in the software can be output through the XDJ-RX. In this mode the larger waveforms will NOT display on the XDJ-RX.
2. Export mode
Hardware Connection: Ethernet/LAN cable between the XDJ-RX and a laptop.
In this mode the Rekordbox software on the laptop is put into Export mode and tracks are read from the Rekordbox library onto the XDJ-RX (as in the video you linked). The XDJ-RX is then used to do all mixing on the until itself. In this mode the large waveforms WILL display on the XDJ-RX.
There are a few additional ways to use the XDJ-RX (USB stick, wireless, mobile phone) but hopefully that answers your question.