Thanks Dan. I’ll leave it as is. Surprisingly my other two do not work that way as the light on the front right of the box turns off when you press the power button on the remote which also powers down the tv and sound system.
Turning off the sound system is a function of CEC (Consumer Electronics Control) and functions over HDMI. The power button on the Roku remote can either use CEC or the newer remotes (like yours I believe) can be programmed to use IR. But the IR function is TV only, so CEC is turning the sound system off. And while the light on the Roku may go off, the Roku itself is still on. It's just in a low power mode waiting for a remote command to wake up.
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I also have two Roku Ultra’s. When I press the power button on the remote it turns off the TV as well as the light on the Roku device. But lately the power button on the remote just turns off just the TV and the power light on the device stays on 24/7/365.
The LED on front of my Roku 4660 turns off (low power mode) after awhile when TV was idle. It would also do the same after turning the TV off, after awhile the LED would go out. Just in the last month and a software update, the LED goes out after the the TV is idle for awhile but turns back on when I turn the TV off. I've tried to turn off the TV with Roku and original TV remote and LED comes back on the Ultra.