Hi guys, I just figure out what was wrong. I noticed that the zero delay joystick directionals should be connected in a specific order in the board: UP | DOWN | RIGHT | LEFT and I connected something like UP | RIGHT | LEFT | DOWN.
I thought the position wouldn't matter because I could set them in the retropie. Probably the board can't handle UP+DOWN and LEFT+RIGHT simultaneously, what makes sense, but when I connected in the wrong positions it wasn't handling UP+RIGHT and DOWN+LEFT simultaneously.
Anyway, my problem is solved now,
Thank you