Welcome to the 1F community!
To lock X and Y, make sure you hit the relatively small LB/RB button, not the larger trigger buttons underneath (a bad design decision IMHO, I naturally go for the larger buttons 
).
If you use the correct button, it could be, of course, that you received a faulty unit but most likely you need to the appropriate mode with the center glowing button (see also):
If you’re confident you’re doing it right, I would contact support to see whether you should not exchange the unit.