Using Roku Ultra, Private Listening has worked before. Have not tried for some time but wanted to use the feature and does not work - nothing changes when a headset is connected to the remote.
Tested with multiple headsets, rebooted Roku, generally followed instructions at https://support.roku.com/article/217479488-how-do-i-solve-problems-with-private-listening- with no effect.
Model 4670RW-Roku Ultra
9.4.0-build 4200-46
Device connected with wired Ethernet to my home network, multiple other Ethernet-attached devices having no issues to Internet, printing, etc and normal viewing on TV with audio is working - it is not the local network.