I did get a reply from Kenwood, seems the unit was wired wrong. See the reply below:
"I understand you are experiencing audio issues with your DNX890HD. This usually happens if the vehicle is equipped with a stock amplifier and it is not receiving power from your car stereo. The Kenwood harness has a blue with white stripe cable that can be used to provide power to this amp. If you connected the solid blue wire to the power control of your amplifier, the unit will only provide power while the antenna is being used (FM radio). Once you switch to CD or USB, this wire stops providing your amplifier with power thus you will get no audio."
Now, where do I find the amplifier in order to check this out?