Yes, I tried with and without the controller plugged after it was failing to respond the commands.
I also remembered something because the comment above about the CRT. My PC is connected both to my regular monitor and a CRT TV which I use to play emulated stuff and games with lower resolution in general, and I can't get full screen on the CRT because it is the secondary display on Windows, only if I change it to primary. Would be good to implement later the fullscreen on the same display the game is running.