We have recently purchased the ultra with the private listening audio jack and support in the app. However, neither works. When headphones are plugged into the remote the system acknowledges the head phones are plugged in, but there is no sound from the head phones; the same issue happens with the app. We have done the following:
-Removed and reattached the HDMI
-Restarted the Roku system
-Tried multiple headphones and insured volumes were turned up on all devices
Please send me a PM with your Roku account email address, and include the serial number of the Roku device from Settings>System>About along with a summary of the issue you are experiencing. I'll be able to assist you further from there.
I just purchased the Roku Ultra about three weeks ago. I was experiencing difficulty hearing when the headphones are in the jack. I changed the batteries, clicked the Home button 5 times, clicked the rewind and forward buttons twice.. Now, private listening works great! Try changing the batteries.