1) Yes, you need to make sure you have "line" input selected in the setup menu since you are using CDJs and not turntables, and you also have to be in Absolute mode. The Cue button on CDJs won't work in Realtive mode.

2) You need to build overviews on your files with the set auto BPM option to get the BPM for all your files, see this video... Watchwww.youtube.com

Also.. Is there any way to autocue so that it just goes to the first beat of the track or else must it be done manually?

That you cannot do on the CDJ, however, you can set a cue point in SSL and there's an option in the setup menu to start the track from the first cue point, but another however is that then you have to use Relative mode, can't do that with Absolute mode.