I've just downloaded Plex v0.5 RC3 and tried to reproduce the issue - 
and succeeded. The problem does not seem to be a Remote Buddy one, 
though:

When I try to quit Plex using Remote Buddy (=> which sends a standard 
"quit" event to Plex - that's the same i.e. the Dock would send to 
Plex when selecting "Quit" from the context menu you get when right- 
clicking on Plex in your dock), Plex will close its window, but Plex 
will keep running nonetheless and (and that's the bit that makes 
Remote Buddy seem to "stick" to Plex) stay the frontmost/active 
application (=> you can also see this in your Mac's menu bar).

If, however, I select "Quit" from Plex's pull down menu, it will close 
correctly, so my guess is that Plex handles Quit events and the 
selection of the quit command from the menu differently.

I'll contact the Plex team, so they are aware of this bug.

Possible, temporary workaround:

Create a custom action that sends a Command + Q keystroke to Plex.

Using "Force quit" would be another option, but that option comes with 
all the risks of "killing" a running application, so please use that 
option solely on your own risk.

Best regards, 
Felix Schwarz