The sensitivity on the config menu only applies to the analog sticks, the d-pad is digital, it's either 0 or 1, so it sounds like a faulty controller to me. My logitech one was driving me crazy with exactly the same behavior. Now using a PS2 one via an usb adapter, no problems anymore.

Somehow, the PC controllers are less durable from my experience. I've changed 3 PC controllers since around the time I bought my PS2 and this PS2 controller is still alive and kicking. And I'm sure I used it more than the PC ones.