Are you sure you have the correct splitter cable?
You won’t be the first here who ended up buying a headphone splitter cable. Unfortunately, all those do is send the same signal from one input to two outputs.
The cable you want is a DJ splitter, which sends the master to the Left side of the input and the cue to the Right side (or the other way around LOL). It then offers two pseudo-stereo outputs. One takes your headphone, the other your speakers (whatever you have hooked up there).
After that it’s setting up the audio in VDJ Free correctly and you should be good to go.
Hope that helps.
Greetinx.