I am using DualShock 4, so as with every single non-Steam game, also with this game I have to use DS4Win. Officially Steam does not really support DS4 either, because Sony only allows the use on Playstation 4, but their support/FAQ states something like:
DualShock 4 may or may not work, but we cannot guarantee it because it is Sony proprietary device, but you can try. ;)
On Steam it works plug and play, though. But every other game, everywhere else, I have to use DS4Win. I pinned the shortcut so it's actually not a big deal to just click the icon before playing a non-Steam game.
Just have to remember that:
X = A
○ = B
□ = X
▲ = Y
But I don't look at my fingers while playing anyway.