I have the same issue you're encountering. I tried the same things you've done and it doesn't work. It do works on the RPI3, but it looks like the XU4 have a different way to boot the system.
If you cant access or remove the hdd, you could install a linux distro on say a usb stick. Then in the linux distro install etcher https://etcher.io/ , download the recalbox image, then install the image to your internal drive using etcher.
NOTE: This will wipe the entire drive (partitions and all) and the pc will only have recalbox installed on your computer. Be aware of the risks and proceed with caution.
@poulain26100 It was solved automatically in one of the last updates. Now I can switch on recalbox and then connect the bluetooth gamepad without any problem
@jessé-carneiro-de-freitas I used a ssh connection from another computer, but you can do that on the Pi with a keyboard as written upper "plug a keyboard, just press F4 to exit ES, log into recalbox"