Actually, yes it does have some special audio modes. Page 62-63 of the PDF you provided mentions a number of different possible listening modes. Any of those
might be altering the audio in a way that is causing the differences you are hearing. For example, the Orchestra or Studio-Mix might be altering the center channel, causing changes in the sound of dialog in that channel. If you have your Roku and Shield connected to different HDMI inputs, different settings might be set, so they aren't being processed the same.
Dan
Roku Stick (3600), Ultra (4640), Premiere (3920), Insignia 720p Roku TV, Sharp 4K Roku TV, Nvidia Shield, Windows 10 Pro x64 running Serviio and Plex on a wired Gigabit network.