Are you talking about in the UI or in the games? They are enabled and set up differently. Games use "Default Games Properities", controllers, enable joysticks**; for UI go "Interface Options", Allow game selection by a joystick, exit mame32, restart mame32.
Assuming you are talking in game use, and you had correctly enabled joystick support, the sticks might be joystick 3 & 4 or otherwise not mapped to players 1 & 2. Try remapping even you only have the u360 attached, but especially if you have other gaming controllers attached: (tab, inputs general, player 1/2, left, enter, u360 left, ect).
Someone who knows mame32 better than I can help you with using the joysticks in the UI. IIRC, only the first joystick works, but this could have changed since I last used mame32.
**Do it this way since you are using the joystick for digital inputs; the "Controller Mapping" tab is for conditional enabling of devices if a game has the specified analog input.