Just got both the app and the controller today. I can't change the LEDs either through steam or through DSX. The LEDs either stay default blue or freak out and strobe in any other modes.
I'm currently trying on V3.1 beta
Also tried on V3.05
Dualsense firmware updated
Connection type wired (unofficial OnePlus red Cable wire since a PS one was not included in the box)
Emulation type Dualsense