They fixed that in one of the later Apple Remote STB releases. I know for sure that in the first attempt that they brought out it wasn't working.
You may need your software updated.
I would though take a look first at the capability of the ATV to learn remote signals. If you find an existing STB/PUC hat fully supports the navigation cross and "exit" I would use that. Reason, you could add the "holding" the go button and fast forward and backward.
In fact, I would try and see if this could be done with the existing STB/PUC. Maybe it still sends some sort of IR signal out that thats just different from what the AATV understands.
JK
BS9000, BS2300, BC2, BL2500, BL3, Bl2, BS1, BV8, BC4, A8