Yeah I am all too familiar with Pro Controller issues! I have found that

A) They only work when you connect your controller by bluetooth. If you have plugged in your controller it will break, and it doesn't matter if you unplug, it'll stay broken 'til you restart.

B) Pairing your Pro Controller AND any other controller will break the Pro Controller

C) Opening steam at all will break the bindings on the Pro Controller, even Steam opening automatically on start-up. Going into Big Picture Mode fixes this for some people (not me though).

D) If you encounter any of these problems, it's too late, you have to restart your computer. If your Pro Controller  is already paired via Bluetooth you have to tell your computer to forget the device and then rebind it. If you try and connect your controller before telling it to forget the device this may also break, so you have to forget the device before or immediately after you restart, and then pair it.

There's a bit in the ZeroTag Devlog Omega video where I moan about all this :D