Comentário oficial
You may have missed one small step...

The driver security needs to be disabled on the OS in order to fully install the drivers. Here's my recommendation to get things working:
- Disconnect the DDJ-RZ.
- Download the driver.
- Open the driver package and run the uninstaller file.
- Reboot your computer.
- Open the driver package and run the driver installation file.
- After the installation has completed, give the drivers permission.
- Reboot your computer.
- Connect the DDJ-RZ and test as normal.