Run dxdiag. You know, press Start, then Run, then type in dxdiag, Enter. Pay attention to Input tab.
Also, have you tried to launch UT in safe mode? Disabling Direct Input option in config menu / ini file?
In Dxdiag -> Input There are multiple entries with Saitek Eclipse II, which i suppose corresponds to the different USB slots ive used with it. Other than that, nothing looks out of the ordinary in there.
I can't find any setting in Unreal 04 about Direct input. Neither in the game nor in the .ini's. do you know where/if it exists ?