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).