I don't have any experience with MacMame, so I can only make an 
educated guess:

Remote Buddy is using the OS X APIs designed for use by remote desktop 
software. It's possible that OS X only adds these events as normal 
keyboard events, at a higher level than where events coming from real 
hardware originate (the HID level). If MacMame ignores normal keyboard 
events and instead listens to keyboards directly at the HID level, 
this may well explain what you are seeing.

If you have a second computer that you can use to remotely access your 
Mac via Screen Sharing: can you control MacMame via the other computer?

Best regards, 
Felix Schwarz