I do have a fancy learning remote. It does not respond to any signals made by Roku remote. I can program anything else into it, but nothing from Roku. Hence, I always have to have both remotes on me, sometimes 3, as I also have Dune HD Lite IPTV box. That one, fortunately, is a full blown player, with replay, volume, EPG options.
As a result, I have to operate TV volume off separate remote. Maybe they will come up with an app that will make this possible on Roku.
I'd not have asked for anything else on that remote, but volume. It's fine as is. It is, mof, surprising, how much they managed to put into that little box.