I think you're saying you have both a Roku TV and a Roku player and the Roku player is one of the low-end models such as the Express that has no TV controls. For what it's worth, this is my preference. (Or at least I certainly wouldn't pay more for the next model up just to get those buttons.)
I often have to do tech support for my parents who have the "one remote" preference, and the first thing I want to know is: where is the actual device remote? Ie: not a remote with a tiny subset of another device's functions copied onto it.
If you look here you can see which ones come with the simple remote and which ones come with a remote with TV controls and in some cases, even more features.
https://www.roku.com/products/compare
For sound I use a Yamaha AVR. There are many options in the sound space, but this one is definitely not lacking for volume.
