The 'Auto Config Buttons' dialog allows selection of single keys for each of the control functions, then, right at the end, it asks for the 'hot key' button. Without a 'hot key' assignment the control buttons work on their own. If you hold a key down for more than 2 seconds while at any selection (including for 'hot key') the dialog will assign 'nul' as the button.
If you don't have very many buttons/inputs then the use of a 'hot key' + 'game button' is the only way to control Retropie. This also is the mode you will have to use if you use genuine console pads which do not have any control buttons, just game action buttons.
If you do have spare buttons/inputs then assign the control functions to unique buttons and set the 'hot key' to nul. This can be done by running the config buttons dialog manually with - 'Settings -> Inputs -> User 1 Binds -> User 1 Bind Default All' or by manually editing the file it creates at '/opt/retropie/configs/all/retroarch.cfg'
I'm also new to this and awaiting the delivery of extra hardware to experiment with how to add an extra Zero Config board that is used exclusively for the control buttons. (Maybe configure it as Player 5? does anyone know how to do this?)
bye for now ...