When you say hit Cue, which Cue are you referring to? The big silver one above the Play button (one per deck) or the small red cue buttons (1 per channel)?
Also, when you say it gets loud are you referring to the volume from the mixer to your speakers or the volume in your headphones?
For you crossfader to fade across you need to set the default crossfader to either Default or Linear in Djay settings>mixer>crossfader curve. You then need to set the crossfader curve dial at the front right of the controller to also mirror this behaviour, I find setting it so it’s about the 2 to 3 ‘O Clock position works fine for an old style ‘fade across’ function.
I don’t have my SX2 out at the moment but if you have a play with various combinations of the Play/Slip button being on or off and also press the shift button before pressing Play/Slip, it has different effects on the platter.
One final note, when you say turn the jog wheel back are you using the outer ring or the flat plate?
Many people make the mistake of thinking that the big jog wheel is just that, but in fact the outer ring and top plate are different and depending which bit you are touching can have different effects on the track, I.e. slow down / speed up / forward / reverse / stop. So make sure you’re touching the right part of the wheel for the outcome you want.
Let me know which Cue buttons your having issues with and I’ll try and sort it out for you.