Is there any difference in the audio file formats on rekordbox dj (PERFORMANCE mode) and rekordbox (EXPORT mode) when using XDJ-RX2?

Yes.
Supported file formats are as follows:
1. rekordbox dj (PERFORMANCE mode)
High-res audio formats such as FLAC and ALAC are supported, because rekordbox dj supports these file formats.
See here for details.
2. rekordbox (EXPORT mode)
High-res audio formats such as FLAC and ALAC are not supported, because XDJ-RX2 does not support these file formats.
For details, refer to here.