I had the same issue with a Samsung TV. Here's the routine:
Using the Roku controller, on you have to go into: Setup, then Remotes and devices, then use the > right arrow button to go to the right and you'll see the description of your of your controller if it's already set up. Mine says Voice remote, in use". You may not have anything listed there yet I'm guessing. But if you do have something already listed there you can go to the right to About, which is your current device (mine is a Roku Express+, model RC691), If you don't have anything listed there already, you may already see (or you can press the V down button on the controller) and select "Setup remote for TV control". From there go to the > right again, or you can select Continue or Change TV brand or Cancel. Make your selection and you're off to the races!
Don't feel brainless about not knowing this. I had actually given up trying to make the volume and power button work. Then a couple months later, just playing around in the menus, I stumbled onto this. So, duh to me too (and probably thousands of other people as well).
It's easy peasy, nice and easy when you know the 'magic recipe'. Geez, I wonder if Roku could have made this any harder. Maybe you and I both missed the little sheet of paper on top of the controller when you open the box that says "Here's how to make it work" 😆