I can confirm there is a problem of excessive sensitivity on the D-pad of my Switch Pro Controller.
It's not that it doesn't work in the strictest sense, but rather than in the most hectic and intense moments any movement of your finger sliding from Left to Right (which would work most naturally with other controllers, allowing you to move in a linear way between the two directions) end up outputting an Up, Right or diagonal press way too easily.
This is very problematic because with all games that require a precise yet fast movement it risks compromising your accuracy greatly: you can verify that with Puyo Puyo Tetris where even the slightest Upwards flick will cause the block you have to drop instantly. It's a shame because this is an otherwise terrific controller, with impressive ergonomy and comfort and everything else would be top-notch.
To anybody who isn't noticing any such issue: can you try the calibration tool in your Switch system and mash the D-pad quickly left and right with your Pro Controller?
If it's anything like mine, you will see that the console is detecting Up / diagonal input when it shouldn't.