Chilepeppa, try disabling "power saving" under Settings->System->Power and the light may behave properly.
Hopefully, someone can answer your question, because it's certainly valid.
In the meantime, go to Dollar Tree. Buy a $1.25 roll of black electrical tape. Cut a small piece off of the roll. Put it over the light on your Roku Ultra. Problem solved (hopefully). On top of that, you'll have a mostly unused roll of black electrical tape left over for future use.
I have the same problem with the darn light coming back on in a bedroom setup... I have tried applying "Light Dims" (dims 50-80% of electronics lights) to no avail. With the sticker over the light, the remote no longer responds to the Roku Ultra! Had to remove the sticker and just control it by turning off the power bar every night. VERY ANNOYING ROKU!!! Update the software for some contro for that light! Device also stays warm when the light is on which tells me it's not sleeping...
OK, I went back into my Light Dims package and tried another single sticker over the light. I can still see the light but it IS dimmed 50-80% so that it is less annoying AND the remote still worked. Not ideal solution as Roku should have this light go completely out when it's in sleep mode (and STAY OUT!)... but it'll do. You can find Light Dims on Amazon...
Chilepeppa, try disabling "power saving" under Settings->System->Power and the light may behave properly.
