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The support for multiple remotes is designed for use with actual Apple Remotes. It can be used in the way you describe to get more buttons via using a universal remote. But this is not officially supported - and while it'll work well most of the time, the trick of imitating multiple Apple Remotes doesn't work well in places where the use of a true Apple Remote is assumed:
When you're inside the Remote Buddy menu, the actual button codes are used for navigation. This is hard coded and can't be customized. For a table of what button does what, please see the Remote Buddy Help.
Therefore, the "Right" button will perform the respective action that makes sense when you press the "Right" button on an Apple Remote. To dismiss the menu in every context, the press of the "Menu" button is expected. The button used to open the menu doesn't play any role here - and for good reason:
Sometimes, it makes perfect sense to open the Remote Buddy menu with a button other than the menu button - so this is supported. But imagine you'd be opening the menu with f.ex. the "Left" button on an actual Apple Remote. If the menu would also close on the use of the "Left" button - which is critical to providing a working navigation (=> going up one level) - you could no longer completely navigate the menu.
Best regards,
Felix Schwarz