So I know you asked this a year ago, but here's your answer:
In the "Select Profiles" menu, at the bottom, check the box for "Share Controller - Allow a single input device to control multiple players at once"
This will solve the issue when using Dex. Also make sure your controller of choice...
It's not the movies or games downloads that I would worry about, like breaking into networks, downloading encrypted things, spying on network traffic. I have seen so many "Top Secret" seals on files when I was a kid
I was obsessed with finding UFOs, a surprising amount of US files where stashed on computers in other countries, China back in the early 90s omg sooo much