I have an advanced Roku remote controlling my TV. Everything works great except I cannot turn the TV off, so I have to use the TV remote. I can turn it on with the Roku remote. The volume control works fine, in fact everything works great except for being able to turn it off with the Roku remote.
You only remedy is redo the tv programming skipping the first positive result, which you probably used the first time, and see if later results have a power toggle instead of a discrete power command like the one you used.
So go into settings> remotes & devices> remote> remote in use> program tv> follow prompts
Remember to click NO at the first one to mute the music.
Edmund Roku Community Streaming Expert
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