That would be DirectInput. There are 4 different kinds of input objects: buttons (on/off), sliders (analogous 0.0 .. 1.0), axes (analogous -1.0 .. +1.0) and PoV hats (direction in degrees). A game pad is free to report its hardware as any of those.
My guess is that this game pad reports the directional pad as two analogous axes in order to work with as many games as possible (since a PoV hat is typically used for looking around instead of moving the character).
Nuclex.Input could theoretically map analogous axes to the DPad for the DirectInput -> XNA GamePadState translation, but I think that would be counter-productive (lots of game pads with an actual analogous thumb stick ending up with a digital DPad instead).