I have a KeyInputListener registered with the KeyInput, but I noticed that if I hold down a key,
I don't get repeated events. Is there something that I must enable or that I possibly missed?
KeyEvents from the InputSystem itself (which KeyInput is part of) fire events only for press and release. More sophisticated events and abstraction are provided by the InputHandlers (trigger actions). You should prefer to use InputHandler most of the times unless you really need lower level events. Have a look at the Wiki page on InputHandlers to get started.
After I did some thinking on it, I realized that it's probably an LWJGL restriction as opposed to jME.
Thanks for the tip. I'll try and figure out a way around my issue.