Interesting. So I opened the Steam overlay and clicked the "Controller Configuration" which opened the config window. It says I'm using "Gamepad" based on "Kishor9Naruto's configuration", which is some random dude in India. I then went to the Witcher 3 (with which this setup works fine) and check the config there. It says "Official Configuration By CD Projekt Red". It seems that Bungie needs to create an official config for this. I have no idea why it gave me Kishor9Naruto's config.