Then it must be Game Maker being funky with controllers. I had the same issue with a PS4 pad, which fixed itself in a newer build of Game Maker Studio 2.
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interesting! i think allowing us to rebind the direction buttons as well would fix it, since i was able to rebind all of the face buttons. i know the game is built for an xbox or playstation controller, but something about old-style megami tensei with a super famicom controller feels *right*. all of my other controllers work just fine, like i said! this one is kinda weird in other games too, though, so it's probably something with how it's built.