It’s definitely an Engine DJ bug because people are complaining about it and other issues on their forums. Try updating to Engine 2.2.2 and see if that works.
You also have to create a new playlist in Lexicon, move it to the top within your folder, name it “Master”, put some songs in it (I don’t remember it working with an empty playlist), THEN sync to Engine DJ. It’s a bit of a process but you’ll only have to do it once until Denon figures out how to fix Engine DJ even though it released five years ago under Engine Prime.