The general idea is that you DON’T play the sound from your DDJ-SB through the PC!
The controller has a soundcard built-in. So you hook up speakers to the master output (RCA connectors) of the controller.
When you plug in the SB, Serato recognizes it and – thanks to the excellent plug and play of Serato with supported controllers – it knew to use the soundcard of your SB to output it’s sound. If you route the master from your controller back to your PC, instead of to a pair of (active) speakers, no sound will come from the speakers hooked up to your PC. There are some VERY roundabout ways to make it happen the way you have it hooked up, but you need to know a bit about PCs, soundcard drivers and routing. Since you don’t seem to have that, I am not gonna bother you with that.
The moment you unplugged the USB, Serato recognized that too and dropped back to using the PC soundcard. And since you had told Serato to start playing a track while the controller was still connected, the sound of the playing track now came through the PC speakers. Plug the controller back in and Serato – you guessed it – started sending sound back out to the controller.
So, hook up speakers to the RCA master out of the SB and thinks will just be hunkadory!