If you already have Serato DJ 1.9.5 installed, you may find your Pioneer DJ DDJ-SZ2 does not connect.
It's important to ensure you have the latest build of 1.9.5, that has this hardware support built-in. It should be 184.108.40.2065, and you can check this in the bottom left-hand corner of the 'SETUP' page in Serato DJ.
If you have got an earlier version of 1.9.5 installed, you can get the latest version of Serato DJ, here.
If you're still having trouble getting your Pioneer DJ DDJ-SZ2 connected to Serato DJ, even after ensuring the right build of Serato DJ is installed, and all relevant hardware and drivers are installed - please get in touch with Serato Support, here.