Everything on my Roku Premiere works fine. I installed Apple TV and it works great...but when I plug in headphones I get no sound. Switch to a different app, no problem. Unplug my headphones no problem.
I also have no audio when using headphones with the remote. I have a 4660X (Ultra), software 9.2.0 build 4807-46, all channels up to date. I live in an apartment building with thin walls so I use the headphones 100% of the time, so this is something of a problem for me.