Solution
No, most likely your device is not defective. The NI 9205 is an isolated module(Channel-to-Earth Ground Isolation). As a result, the analog front end of the device is floating relative to the cDAQ/cRIO chassis ground. Thus, per the getting started guide, you must always connect the COM pin of your NI 9205 to a ground reference.
Please refer to the page 17 to 20 of NI 9205 Getting Started Guide for the connection diagram of Grounded Differential, Floating Differential, Referenced Single Ended (RSE) and Non-Referenced Single Ended (NRSE) voltage signals respectively.