Once you open the menu, Remote Buddy switches to menu navigation mode, where only up/down/left/right/select/menu buttons have an effect - with the menu button hardwired to dismiss the menu.

My first reaction after reading your post would be that it'd be easy to solve - Remote Buddy would just remember the last button pressed to enter the menu and also exit the menu when it's pressed again. It's just this won't work here:

Remote Buddy currently has no support for the Harmony Remote. The emulation of multiple remotes is an interesting use of that feature, but it comes with its own set of issues: 
1) Remote Buddy's support for multiple remotes is targeted at actual Apple Remotes. 
2) Problem: if you're using actual Apple Remotes and for whatever reason you decide you want to open the Remote Buddy menu with the "Up" button, you'll still want Remote Buddy to move up in the menu when you press the "Up" button. Making that button close the Remote Buddy menu as well would mean that users of an actual Apple Remote lose important navigation functionality inside the menu.

Therefore, I'm afraid I can't do anything about it at this time. Sorry.

The only workaround suggestion I can offer is to use a button on your Harmony Remote to open the Remote Budy menu that is also sending an actual "Menu" Apple Remote button code.

Best regards, 
Felix Schwarz