Remote Buddy's menu is realized as a normal window with Cocoa views. It's rendered on screen by OS X like any other application. Which is why I don't think Remote Buddy contributes to this phenomen.

OS X, however, also provides means for applications to get exclusive - and faster - access to what is shown on a display. If that's the case, usually no other application's windows are shown on screen. This, for example, is the case with Front Row and - unless you disable an option in its prefs - Keynote.

Chances are Plex is using the same or a similar mechanism when in fullscreen mode. It could also be a graphics card driver issue. I really can't tell. Which version of OS X, which Mac model and which graphics card are you using (=> you can find all of that info in System Profiler.app)?

Best regards, 
Felix Schwarz