I'm trying to route a complex board and don't understand how I can control the direction of routing.
I tried almost all combinations, including using or not using the "priority layer directions". What I get is always someting with horizontal or vertical traces and, at random, only some trace that goes at 45 degrees.
This happens even if there is plenty of space, so most of the routes are longer than necessary (in other words, for instance, for going to the opposite vertices in a square box you follow the sides instead of using the diagonal).
I's easy to "optimize" the traces by hand, but there are a lot of them that need to be fixed, and if you start doing that you end up to manually review all of the board.

Given that in some cases the diagonals appear automatically (so the autorouter knows how to do them) ... is there a logic
or a setup in order to ask the autorouter to optimize such diagonals? Is there a way to ask to optimize for the minimum route lenght?
Thank you in advance.

This is lack of Shape router algorithm. It always creates horizontal and vertical channels first, creates traces and finally miters corners if possible. Whatever you do, it will work in the same way.
Grid router can create diagonal traces more effective but in general, its performance is poor. We recommend to use grid router for single-sided boards with jumpers only.

You can route some traces manually especially if you can do it better than auto-router. Then lock traces and run autorouting to do the rest of traces.

Try TopoR perhaps ?

Yes, you can try TopoR. DipTrace can export/import DSN/SES files to exchange data between PCB Layout and TopoRouter.

So wait, let me get this straight (this is a problem I'm also experiencing). I pay hundreds of dollars on Diptrace and get a fairly crummy autorouter (eagle is better and will at least take into consideration ground planes), while the really good autorouter, TopoR, is made by the same company?? And I have to shell out an additional $500-6,000 for the autorouter that should have been included in the program originally?

TopoR is Eremex, Diptrace is Novarm.
No need to get so worked up.

You are wrong if you think that autorouter in Eagle is better than in DipTrace. Diagonal traces are not big problem I think

Perhaps I am wrong. But then why does the TopoR website say (c) Novarm, Ltd. on it? Is not Novarm Diptrace?

As for Eagle's autorouter: I can set copper pours and connect them to ground. The autorouter will then NOT route actual traces for ground, but will route the rest in such a way that the ground plane makes the connection. Diptrace will not do this and must route an actual ground trace in addition to the plane, which gets in the way of possible routes for all other traces.

What I don't understand is why sometimes the diagonal routes are created.
I understand that the autorouter starts with horizonthal or vertical traces, and only in a later phase it can "optimize" something ...
creating some diagonal.
The question is: why only sometimes?
I can show you examples where it generates some diagonal, and in the same work some other traces are only horizonthal or vertical
altough it's extremely easy do optimize .... there is plenty of space, I can do it manually in seconds.
Is there a way to control how much "optimization" it performs? What do the "Final route" and "Clean" numbers mean? Should I try
to increase them so that the autorouter spends more time in trying to optimize?

There is option "Miter corners to 45" in autorouter setup. Please make sure that it is enabled. But notice, this option doesn't convert two orthogonal traces to diagonal one. It only creates nice-looking 45 degree corner.
Other options don't have affect on diagonal traces. They remove superfluous vias and nodes in traces.