I have this same problem... but with ROKU TVs (TCLs). I have three, and the issue is the same, regardless if I'm using the remote with an Ultra, one of the ROKU TVs, or another ROKU device.
The problem is in the remote. In order for the remote to work, you have to mash a button, or two, and allow it to "wake up" (my words -- I'm not trying to imply it's in some sleep mode, but it sure feels like it). Once the remote has 'woken up' it operates just fine.
If I try to use the "find remote" function or "change sound" function in the System settings for the remote... it will chime or change sounds perfectly fine.
The problem comes about when the remote has been sitting around for a while... unused. At that point you can try to speak the magical words to find it... or you can use the paired ROKU device to find it (in System settings)... or you can use the iOS App to "ping" the remote -- but NONE OF THESE OPTIONS WORK after the remote has "sat" for a while. That's why I think the remote is "sleeping" or in some "rest" mode during times of non-use.
While I appreciate the battery life savings (we all remember the battery-gulping A-B gaming remote), it's unfortunate that the lost remote feature can't work on a device that has already fallen asleep.
By the way... I've had this issue for some time. I've also owned a half dozen of these remotes -- so it doesn't matter if it's a new remote, one purchased last year, or if it's a set-top ROKU or a built-in ROKU, last year's ROKU OS or the lastest 10+ update. The problem is the same and repeatable by anyone with a half hour on their hands.
I'd love to see this feature come forward as a useable feature (as I'm now trying to find a remote that "little hands" have certainly hidden) but am having zero luck locating it.
Have the engineers look into a low-powered radio that can ping the network for 'calls' every minute, or so. That might solve the battery issue, as you can install a third battery for that additional radio, or just have it pull from the AA batteries. Either way, it's an extremely small draw on power for a once-a-minute push-verification to see if there are any new notifications (such as "find me").