@madbrain I connected the Pi 3B+ to a KVM and a regular 1080p monitor. An overscan problem on my CRT was hiding the instructions at the bottom on how to enter the menu. I was able to do so with the mouse buttons (even though there is no pointer). And then subsequently I configured the Thrustmaster controller properly.
The Pi is back on the CRT now. Unfortunately, the overscan problem is back, too.