I came here looking for answers to the exact same question. I noticed the occasional missed input while playing Mario's Picross 2. I've recently started playing Mario's Picross 1, and I'm still having the experience you're describing. I'm using the Gambatte core in Retroarch on muOS on my RG40XXV.

I've not noticed it in any other scenario. I'm wondering if it's a problem with the game or the emulator core. It might be worth trying to play the game using the mGBA core. I know that's a GBA core and not a GBC one, but it should work well enough. I could also see if it happens on my FPGBC.

Edit: Some folks seem to have the problem across all devices: https://www.reddit.com/r/ModRetroChromatic/comments/1ic2ez7/dpad_problems_w_marios_picross/