Some apps such as Plex Media Player will let you control navigation within the app, just as if you were using a physical remote to control the app. The specific method for invoking the navigation controls can vary between the controller apps. On Android, for instance, you can select Open Remote from the Players window when you're already connected to a compatible app.
Doing so will open the navigation controls, which allow you to move around the app, select, and go back.
Related Page: Plex Companion > Choose a Player