I have tested several gamepads and with these the D-Pad works perfectly, as I indicated in the instructions. I do not know why in your case it does not work. Eventually you could try with external programs that associate the gamepad keys to the keyboard keys, such as JoyToKey.
Yeah, that is really weird. It recognizes D-Pad "Up" as "LEVER UP" in configuration with the Anbernic RG P1.
D-Pads on my Xbox controller worked as did the one on the 8bitdo "SN30 pro".
On the 8bitdo M30 it didn't work and it recognizes D-Pad Left as "LEVER UP", doesn't let me use the other directions.
Pretty weird all in all. Luckily I have options.