I have a roku 3 but I can't get the volume to set up on my TV. It just keeps setting up as a gaming remote and won't set up my volume.
There are two versions of the Roku 3, model 4200 released in March 2013 and the 4230 released April 2015. To my knowledge, neither of these players came with a remote that can be programmed to control a TV using IR. Either should work using CEC, but that also depends on your TV supporting that function.
I used to have a Roku 3 model 4200. (This stupid forum software still lists it on my account.) A friend in another state has it now. It definitely came with a gaming remote with the A and B gaming buttons, and if I recall correctly an earphone jack. I don't recall there being any tv volume buttons.