So I went home at lunch, set up my new Odyssey bundle, and while it was downloading I popped in Puyo Puyo and connected my new Pro controller to it. Managed to play a bunch of Tetris on the dpad without any issues. Not sure if they've addressed the problem or it only shows itself after being used for awhile, but I'm incredibly happy with the Pro controller. It's even better than the XB1 controller imo.