Note: I don't have the game, but am making an educated guess based on other games that use this input method. I am also assuming you're using Steam.

Controls can be adjusted within Steam via the Big Picture Mode overlay. Press the home button on your controller within the game and then scroll down to "Controller Configuration" and press A.

Pure guess: You are not using Big Picture Mode, and the game is trying to open the controller configuration menu but it is unable to.

To configure your controller without big picture mode, you can right click on the game within Steam and you should see an option that says "Edit Controller Configuration". This will open a small, windowed version of BPM that you can use to customize your controls.

And also, make sure that configuration support is enabled for your device within Steam. Go into Big Picture Mode, then go into the options using the gear icon on the top right. Go to "controller settings", and then enable configuration support for your device of choice.