It's all right - when you have Dance Play on, all the buttons still work in the menus. However, when you're playing, then the buttons are disabled. See, normally X means down and O means right when you've got controller play (or Dance Play off) enabled - but if you accidently step on them while hitting up for example, you've got a misstep that could turn a later down into a Boo.
So, yeah, don't worry about having Dance Play on - you can still scroll through the menus just fine.
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