problem us that SFIV uses GFWL, so no matter what you use, save games are encrypted.
GFWL is for online play, encrypted user data, saving replays, achievements, etc
Steam is just for DRM. Eg Steam needs to be active for SFIV to run. So Steam friends need to be added to GFWL friends in order to play online.
In other games not using GFWL this is not the case. Eg in Sonic All Stars Racing, you can invite your Steam friends to play online sessions. In Skullgirls probably the same.
Regarding Xbox controller not working, it depends on the game really. You configure graphics, sound and controls from the game options found in each game.
If you have trouble with SFIV, I’d suggest using this:
configure the controller and copy the files in the SFIV exe directory. it should work.