If I remember correctly, there was a bug with fceux (the nintendo emulator). You had to run the emulator once to create the proper folders/files, then run the controller config. So try running it again for the nes and see what happens.
I just realized that you are probably using joystick. That doesn't work right now with the controller configuration. I contacted a user on the boards who has successfully configured them for joystick input to get a copy of his configuration file. When I get that, then I will be able to set up the controller config to do the same.
I'm in the same boat. I am using a USB controller. It seems to map without any issue. But if I go in snes or nes it's as if no mapping has been done, and the default mapping is not good enough to play (although almost). Damn it's hard to explain, but it just seems as though the config doesn't actually save.
If I update when those fixes are pushed, will I be able to run the controller config, and have a controller in NES, or will I need to mess with config files first?