When headphones are plugged in there is no sound. However we can hear the sound coming out of the Roku remote internal speaker. The same remote internal speaker that emits a high pitch sound when you lose your remote.
Rebooting the roku device did nothing.
I had to press the find remote button. Afterwards the headphones worked as expected when plugged in.
Roku Ultra
Software Version: 10.0.0
Build: 4209