hldj.org

1) Does HLDJ launch the game correctly for you? Yes
2) Does "HLDJ Loaded Successfully" appear in console on starting the game (with no errors)? No
3) What is the console output after selecting a song, or issuing other HLDJ commands such as "hldj_next"? Unknown Command

Check your game directory, you could be logging in/starting a game from the wrong account if you have multiple Steam accounts.
alternatively you can search your Steam folder for "hldj" to confirm in which game folder they are ending up.