A lot of keyboards can't handle some combinations of three or more keys, and when people can't throw the boomerang diagonally, that's always been the reason why. But that's usually just one or two angles, not all four, and I haven't heard of it happening on a controller before. Still, you could try remapping keys.
Although... Apparently, there's a spot in that quest that requires you to throw the boomerang and then angle it diagonally. Is that what you're talking about? That's just a matter of timing. If you can't get it, try using F4 to advance one frame at a time. Throw the boomerang, then press the diagonal direction in the next frame. Press F3 to resume the game afterward.