I've used Roku players with my Yamaha AVR for years, no problem. Yes, you connect the Roku directly to the AVR. Since the Ultra is 4K/HDR capable, make sure your AVR supports 4K passthough on the HDMI port you are using. If your display supports Dolby Vision, your AVR must also support DV. Just because it supports 4K HDR doesn't mean that DV will pass through.
With the current Ultra (4800 or later), make sure the audio is set to passthough, not Auto.
The tech support person you spoke with has no clue. Since Roku doesn't offer phone support, are you certain you didn't contact someone that claimed to be Roku but wasn't? There are many scammers out there that claim to be Roku support but in reality wants to try to steal your personal information.
My Roku Roku Express 4K+ and Yamaha AVR also work fine together.
Roku Express 4K+ --(HDMI)--> Yamaha AVR --(HDMI)--> TV (plus other wires to speakers)
Unfortunately, tech support typically follows a script of the most common scenarios.
