I think you night be using Plex Media Player which is pretty old and not receiving any more updates. I don’t think it is respecting the app not being in the foregroud.
Try the windows app ( if you want the web desktop like interface) from our downloads page or Plex HTPC if you want the bigscreen TV interface ( Introducing Plex HTPC! ). both should respect the keys not affecting it if not in the foreground.
