I know this is kinda basic, but I think I should mention it just in case. When you go to Windows, game controllers you should only see one entry line for the Saitek x36 Controller. You won't see the throttle listed. When you hit properties it will open a window with all the buttons etc. available to test and a throttle bar will be at the top.
I expect you've done that and still don't see the throttle moving in the bar. Aside from running the special nuke USB utility provided on their web site, and then installing again, I would try contacting them or at least checking the web site before buying Windows 98SE. They may have a quick answer for that particular problem.
I do think you're on the right track with the Windows 98 SE thing, because they do clearly state that you need the service pak while the 98SE is fully compatable. I would check with them first in case there's and easy fix.
I wish you luck. Hope you get it running, because it's an excellent stick.
Ranger Bob