The controller setup of FFXI is pretty limited, very old and doesn't allow you to handle common gamepads, like the Xbox360 Game Controller, in the two analogic shoulder buttons which get recognized as "Z Axis" and not digital buttons.

Things could be easily solved in many ways if SE could think about updating that tool in the future, since they're re-doing the UI as well.
I can see at least two main paths of action:

1) Update the current Gamepad utility allowing it to handle analogic buttons as digital buttons
2) Update the support to Xinput as well