As @Tivoburkee mentions, you can change the TV remote function in the Roku menu. But unless the Roku is connected to a TV via HDMI there's no way it can be using CEC to control a different TV. The remote uses IR (infrared) to control a TV when not using CEC, and that requires line of sight between the TV and the remote. It is possible for the IR signal to sometimes bounce off a wall (glass works even better), so it's possible your remote is somehow getting that IR signal into the other room. One test would be to cover the IR receiver window on the LG TV and see if it still happens. I can't think of any scenario that it would.
It's certainly possible that LG and Sony uses the same IR codes, in which case it won't work to reprogram the remote to only control the Sony. All you can do is block the IR signal from reaching the LG TV in the other room. Move a mirror, close a door, just something to block the reflection from reaching the other room.
Dan
Roku Stick (3600), Ultra (4640), Ultra (4670), 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.
