no it is not need to be connected to anythig....but yes it should be obtion on your screen AUX...
it is a good idea to try connect CD player and play it .. may be it will allow streem of misic signal to flow via cable ( and if it will work cable is ok !!)and it will play ...varify if voliume will work too ..
Usually DSP make self scen and varifying what exactly connected..so..
again and again
friendly