You can map two actions to every button (one for short presses, one 
for long presses).

The default mapping sends cursor key presses, escape and return key 
presses for left/right/up/down, menu and play button presses to Plex. 
I'm sorry, if Plex's default key map is inconsistent with and more 
limited than how Plex handles Apple Remote presses when it handles 
them itself, but it's nothing I have any control over. What you can do 
is:

1) Use Remote Buddy's Apple Remote emulation to simply generate Apple 
Remote events for all presses on your remote (=> and get Plex' built 
in reactions to remote presses this way).

2) Get in touch with the Plex team and suggest that key presses and 
remote presses should be handled more consistently in future releases 
(just like f.ex. Front Row always has - FR doesn't mind at all whether 
you use a keyboard or remote to control it and is totally consistent 
in that regard).

Best regards, 
Felix Schwarz