full steam remapping in 2.4 dongle mode
They do.
Can't speak on older models but at least on the Ultimate Wireless 2 they do.
You must use the 8BitDo software to update both the controller and the dongle's firmware, afterwards turn off the controller and turn it on holding the B button.
Then it works. Full Steam Input in 2.4g mode, extra buttons and Gyro all work as expected.
Must fully shut off with the home button then turn back on though, pulling it off the dock with the B button held doesn't work.
Also I bought mine a bit ago, maybe your unit shipped with high enough firmware version that updating isn't necessary. It was pretty hassle free so I'd recommend it anyway.