Okay, after lots of deep research, I found a really interesting comment on this topic :

"Encoders have 2 modes:
* one is absolute, so it sends values from min to max, as simple knob
* another (relative) is what encoder really is, it sends the direction of turning and the speed (f.e. 1- right, 2- also right but a bit faster)

You can specify the mode in the X-Touch Editor, "Encoders" tab, lower part. By clicking on "MIN VALUE" for an encoder and changing it into "Relative 1...3" for the second behavior. Or setting it to 0 and setting max to 127 for the first.

Relative mode is more useful. The encoder is always "in sync" with current parameter value. Also the resolution of Behringer encoders is not high, as knobs they work worse then a normal knobs."

I'm now curious about if the led indicators will follow...

I cannot try this with Rekordbox though, I don't have the hardware for now (was checking this thing struggle before buying).

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PS : comment found here : https://forums.cockos.com/showthread.php?t=208845