I had the same problem, in that my Roku remote would not control the volume. The bottom line is that the Septer Codes don't work. Septer tells you to use "SONY" codes on anything othet than the original equipment Septer remotes!!! The auto setup on Roku defaults to Septer as my Brand of TV . Although this is correct, Septer uses Sony Codes. So, to set your remote up to work, do it manually by going to Settings> remotes>set up remote> choose "CHANGE BRAND". At this point enter "SONY". Then follow the set-up process as prompted..."Hear music playing". etc. etc.
When finished, your remote "volume control" and "Power on /off control" will be operational.