Only the top of the line Roku's ever had a headphone remote supplied with roku, the Roku 3 original cost was $99. Nowadays there are three models that comes with headphone jack remote the Roku Ultra, the walmart exclusive Ultra LT, and the Best Buy Exclusive Roku Stick + 3811. You can purchase the Enhanced voice remote with headphone jack for $29.99 from Roku, it will work with Premiere plus 3921, 3810 Roku Stick+, Roku Smart Soundbar and Roku Streambar. Even though those models didn't come with headphone jack remote.
It will not work on the Premiere, express +, express, and any other older Roku stick like 3600 or 3800.
Edmund