There isn't much to mess up. If you press up, it should go up, etc. If you had two directions connected wrong, it really wouldn't play at all.
The one thing you can control is the adjustment of the leaf switches. If you have them set too far apart, the stick won't respond as well in the diagonal directions. If they are adjusted too close, you'll have trouble going in the up/down/left/right directions (as any side movement not in that exact direction will close two switches at the same time and be seen as a diagonal move).
For any leafs, it takes time and a bit of work to get them dialed in just right.