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I haven't found a way to make things work properly, but streaming games from the VM to Steam on MacOS seems to work pretty well as a workaround....
I'm in the same boat. The only way I can play games with a controller is to launch steam in MacOS and stream them off the VM.
I think I'm having the same issue with a bluetooth xbox controller. I can play Dirt 4 through Steam on macOS but I can't get it to connect to the VM.