I would like to connect DJ software to this unit. Should the USB cable be connected and the DJ software launched in a specific order? Can either be done first?

Connect the XDJ-RX and set MIDI CONTROL to ON, then connect the DJ software.
When quitting, first quit the DJ software, then set the XDJ-RX to standby or unplug the USB cable.
Connecting or disconnecting the USB cable while the DJ software is running could result in malfunction.