KD2 From Xbox to ROG Ally X

Hello, I recently was debating whether or not to buy KD2 (Kingdom Divergence 2) from Steam or Xbox. I ultimately went with the Xbox version because I thought I could play on the console or my ROG. But it doesn't seem like I can download it to my ROG except for cloud gaming. But if I try to play through Cloud gaming, it says I need to connect an Xbox controller VIA Bluetooth. Is there something I'm doing wrong here?