There should be no reason why the game would not register hatswitch commands when you try to bind them to controls...
Do the other buttons work okay? Can you bind them to any controls?
...you did press "Bind" button after selecting the command, then pressing the appropriate button?

If else fails, and if you're not using Saitek's profiler for any other games, try wiping out Saitek's driver and software (good luck with that though, getting the driver off your PC might be something of a tricky business...). The driver and/or software might be making FS2_Open not read control inputs from the stick properly, though I don't know how exactly... At any rate, Saitek stick is pretty generic USB interface gaming controller so WinXP's default game controller drivers take care of it quite perfectly well. Which means that if you don't use the profiler, you should have no need to install either drivers of the profiler software for this controller.