I too am experiencing this, on macOS Sierra, only after upgrading Serato to 1.9.10. Downgrading SDJ versions has not remedied the matter.
I’ve removed all MIDI profiles and any trace of Serato I could find, yet am still receiving the Error: Failed To Connect Audio! error when launching SDJ. The frustrating part is there is a brief second where the controller is recognized (I see four decks) and then boom, error.
The even more frustrating part is that this is not an issue with SDJ 1.9.10 on Windows 7, which works splendidly. Isn’t it Macs that are supposed to work without asking questions??