Well this one has me really stumped. At this point my best suggestions are the following
- Try connecting this adapter and controller to another device running Android 3.1 or higher. Can be a friend's device, and they don't even need to install mupen. Just plug it in and see if you can navigate menus of other apps using the d-pad.
- Try connecting a different USB-based controller to your Galaxy S2. Can be a PC, Xbox, or PS3 controller as long as it connects through USB (not bluetooth). (Wireless controllers that require a USB dongle are acceptable.)
Then let me know which of these combinations work and which don't. That should isolate the problem. In the meantime I'll update the first post to warn users that compatibility with this controller is uncertain.