I do enjoy using headset mode in the Roku app to listen privately late at night, but one simple feature would really make this better.
Don't disengage the volume and mute buttons on the normal remote when engaged!
Currently, when you go into headset mode, the remote's volume buttons and mute just display the headset icon on the screen and then do nothing. I can't imagine it would be too difficult for the remote to pick up the button signals on the TV and then relay them to the app where they press the corresponding vol +/-/mute buttons in the app. Sure, you can press the buttons in the app, but then I have to unlock the phone, flooding my face with light, and press virtual buttons. I'd much rather press buttons in the dark without looking like I do when not using headphones.
Or at the least, make it a user choice to disable vol/mute. I can see value in turning them off if someone would mess with the volume while you're watching, blowing your ears out trying to figure out why they can't hear anything, but for my viewing, I would want the remote buttons on at all times.