Hey Rob,
The Club Kit will allow you to, when plugging your laptop into (let’s say) the DJM-900NXS, open the 2/4 deck view for you in Serato DJ without the need to plug a compatible device (like your DDJ-SX). It will allow you as well to control your decks through DVS (using timecode either through USB plugged in the CDJ, a timecode CD, or timecode Vinyls in case the club is providing Turntables). You can also control your decks in HID mode by plugging the CDJs through USB into your laptop (in case you have a Mac, you might need a USB hub as you have a total of 3 USB connections to be done while all newer Mac models give you only 2 USB ports).
Now coming back to the Cue points, cue points are stored with each track inside your laptop/software. They are not hardware dependent, meaning that any hardware supporting Cue points triggering will make them function and they will always be saved with your track. If we take the example of a CDJ2000/CDJ2000NXS (being a club standard setup), they support 3 cue points triggering which you can find on the upper left side of the deck labeled A, B & C. These will trigger the first 3 cue points (out of 8) saved in Serato DJ if you are USING HID (DVS will not work). If you need to be able to control all 8 cue points in Serato DJ along with other functions like Slicer, Loop Rolls, etc… the most affordable route to go in order to complement the club setup would be the Akai AFX, an Official Serato Accessory, which will give you comprehensive advanced functionality on all 4 decks.