lisahart: he has a Stick +, so no audio cables at all.
OP: go into the Stick settings and find the menu option for controlling other devices. It may be labeled One Touch Play, or something similar. Turn that off, and the Roku won't send any HDMI CEC control functions, so your audio settings should remain.
I only have access to my Roku TV right now, and I know the menu options aren't quite the same. In the Roku Settings menu, under Audio, there should be a setting labeled S/PDIF and ARC. By default it's on auto detect. Try changing that to one of the other options, like Dolby D, DTS.