Hmmm... It worked on my end just today. I guess either you folks misinterpreted the instructions in some slight way, or you have some strange incompatibility. Here's what I did:
I went into the Gamepad Binding and did the Ctrl+Alt+D thing, then went back to the main tab and hit Save and Exit. I then pasted the mod's four folders into THUG Pro's main 'data' folder (after backing up the thugpro_qb.prx). And then, l opened the launcher again and started the game.
I can't imagine the order of the launcher stuff mattering so long as it's done at all... Perhaps you copied the single mod folder when it's the four folders that need to be copied? Or, maybe you pasted into the User Data folder when it's the lower-case "data" folder outside the "User" folder that needs pasting into?