Just to reinforce Mecrazy's query, In the TA he advised that the rudder works OK in Windows. Just in AH that the Z Rotation stays on Zero (options/controls/map controllers) when you move the control, so AH is not recognising any movement.
Mecrazy has a Z axis for use as Throttle that works OK
Strange as it may seem I had a similar probem recently using a Belkin Nostromo N50 where the wheel axis would work in windows and not in AH.
After messing around with its own software I finally reset it to a default condition and then, low and behold it worked!
Just an idea, but if the stick comes with some programming software, I would suggest trying a default condition just to see if that works to start with.
Edit: If the problem persists I would be inclined to try reinstalling the stick. That is, remove it from windows and any software it came with, reboot and start again! - It really should not be a problem as I can see others on the forum who have the same stick working fine!