Keyboard Maestro does not do anything specifically to work or not work with Screen Sharing, Virtual Machines, Cross Platform apps, Games, or whatever. However these sorts of apps may behave in a variety of strange ways and rely and affect very low level behaviour which may well happen below the level Keyboard Maestro operates at.
So with all of these sorts of apps it is very much a case of “try it and see”, and what works, works and what doesn't doesn't, and they might change at any time, with changes to the OS version, the app version, or Keyboard Maestro version.
So if there is specific things you are trying to do, it would be better to ask that specifically rather than just generally “doesn't work”. Post a question on the specific task you are trying to accomplish via Screen Sharing, being careful to describe which Mac you are running Keyboard Maestro on (remember that running Keyboard Maestro on the target Mac as well as the source Mac are both options).
I'm not the OP, but I have a similar question, and per @peternlewis' suggestions, I'll be specific:
I have KM installed on 3 Macs, and sync is enabled. When I'm in front of each machine, all macros works beautifully. But I often use Screen Sharing on my MacBook Pro to view and interact with my Mac Pro, which is in another part of the house. When the Screen Sharing window is frontmost, I wish my KM hotkey triggers would work on the remote Mac. Instead, they're always "intercepted" by the local Mac.
Interestingly, "native" shortcuts like ⌘N, ⌘S, and ⌘, do work on the remote machine. But my custom KM hotkeys don't.
I thought about disabling KM whenever Screen Sharing is active, but with sync enabled, that would also disable KM on the remote machine, as well (and I'm not willing to disable sync). Each time I think I've conceived a possible solution, I discover a caveat.
So… Has anyone figured out a workaround to this conundrum?