It's probably the order the Create Events run. The new button gets added at the end of the list, so it's not finished setting up when the keyboard menu controller's Create Event runs (it finds the currently hovered menu button by checking their "menu grid position" variables - but they don't exist until after the button objects have been properly created). You need to open the room's "Instance Creation Order" (there's a button in the inspector) and reorder things so the controller is created after all the buttons:
(There's a comment about having to do this in the create event of that object, but I maybe should've put it somewhere more visible...)
