I think if you start charging for a DJ mix (i.e. if it was a published commercial compilation) then the artists involved would be entitled to royalties yes (or the labels would be). If the tracks are unpublished then I don't think they would get any royalties (at least not from collection agencies).
Also, if its just for promotional use (i.e. free) then technically the artist may be entitled to some form of compensation if the DJ was getting bookings, and thereby making a profit from exploiting the artists work, but has anyone ever heard of this happening!? Doubt it to be honest.
**** knows man, its a grey area really.