The newly uploaded v0.0.7 should resolve this, it hooks into SteamInput and XInput for controller input now. Previously on controllers, the “up and down” would have only been the game’s default zoom in/out.
The game hides your mouse cursor while controller input is active, you can work around this by moving the mouse (re-enabling keyboard+mouse input) in game before opening the config window.
v0.0.7 also adds the first bit of code specific to the Steam version, I don’t have GrimDawn on GOG to test, but it should work – without the Steam Controller options. If not, I’ve left the link to v0.0.6 still in the top post.