Its not broken o.O it works. But as you said, direct play is awful. Thats not their coding, they did a fine implementation of it.
Windows controls is supported because you are using c++. Again, nothing to do with the sdk. See the tutorial link in my siganature, I wrote a very indepth article on how to use windows controls, forms, dialogs and menus with dgsdk apps.
vc++ 2005 express compliance is something I would like to see too, it might make me actually stop using my vc6 X_X Who knows. But its only just come out, give em a chance