As there is no way for djay to access songs in iCloud, they have to be downloaded onto your hard disk before you can play them in djay.
To download a single track from iCloud:
Click the cloud icon next to the track in iTunes:
To download all tracks from iCloud:
Select all tracks in iTunes, Ctrl-click (right click), and choose “Download” from the contextual menu:�
Note: After downloading a song from iCloud, choose “Refresh”(Cmd-Shift-R) in djay’s Library menu to show the song in djay.