Hello! Yes that's right, the D-pad is not supported for menus I'm afraid.
Hey, you're totally right and I didn't have time to address it in the past. This has been bothering me all week and I didn't want to just leave it as it is, so I've just uploaded a new build to itch (version 1.3.5).
Please try this update and let me know if that works. 🙂 I don't have an Xbox One controller myself so I've been unable to test it, but I've had someone else check it for me.