Ultra remote does not stay paired and will not control on/off or volume but will navigate Apps and Channels.
Are you saying you get things set up via:
Settings > Remotes & devices > Remotes > Remote (In use) -> Set up
.. but the setting does not hold?
It has been reported by some that when their Roku updated to version 9.3 of the Roku operating software this setting was lost and had to be reset. You can check your version via Settings > System > About.