This can happen from one of a few things:
1) There are multiple controllers plugged in.
2) The controller was plugged in while input was being sent (a button was held).
3) But most likely Steam is running in the background, and its controls settings (which override hardware settings) are interfering.
EDIT: Third party drivers for PS4 controllers can also be an issue. Let me know if any of these work / or if you still want a refund and I'll contact Support about it.