Recording a playlist / mix on windows with Djay pro

How can I record the crossfading and other effets ? I did record the playlist and stored on USB and when reading on Denon , I almost had a heart attack when hearing that songs where just played one next to the other with no crossfading whatsoever . please advise ! I thought pressing on recording would record The output as it plays . I bought the SW specifically for that . I cannot share my playlist and work I do as an amateur . I am not a DJ ! I do basic stuff of which crossfading is essential ! Please help .