I connected this unit and a CDJ/XDJ with a LAN cable because I wish to use the PRO DJ LINK function. Do I also need to connect an audio cable?

An audio cable needs to be connected if you wish to input the audio of the CDJ/XDJ to this unit. An RCA to PHONE converter cable or converter plug is required because the CDJ/XDJ has RCA terminals (unbalanced) and this unit has a PHONE terminal (unbalanced).