It's a limitation in the way the hotkeys work. When an application has defined "local" shortcuts, that application will handle those hotkeys (regardless if some other app also defined the same hotkey combination as "global").
And some of the fullscreen games hook all key calls, so basically they will handle all requests for any keys pressed, which means that XMPlay, being in background, won't even receive the hotkey events. There's nothing that can be done about it.
