Same problem but, on just one of my Roku Ultras (both 4670Xs)... Disney+ audio over private listening headphones no longer works. I noticed that my Roku Ultra where it DOES still work fine has a newer software version (9.4.0 build 4155-46); where my Roku Ultra that no longer works is on software version (9.3.0 build 4194-46). But, my 9.3.0 v Ultra won't let me update it; it says the software is up-to-date... ?!
I did try removing and reinstalling Disney+ which did not resolve this audio issue.
I'm just curious why one of my Roku Ultra has this issue (with Disney+ only), and my other identical model Roku Ultra does not. The only difference I can see between the two is the Ultra that works is running sw version 9.4.0, while the Ultra with the faulty Disney+ private listening audio is running version 9.3.0 (it has not been scheduled to update yet... I guess).
Roku support punted me to Disney+ support. The only Disney+ support I can find is: