Hi @Stal8080, I think I answered you these via email already but I'll answer them here too just in case anyone happens to land on this page. Big Box currently does not automatically download videos, but this functionality is coming, through EmuMovies. Still, if you have an EmuMovies subscription it's really easy to download them with their download tool and then just drop the videos in the right folders.
All of Big Box can be controlled just fine with a joystick, yes. *Most* emulators can be exited just fine with the controller using the AutoHotkey features. Some of them are still being perfected, however.