Dan Roku Stick (3600), Ultra (4640), Ultra (4670), Ultra (4800), Premiere (3920), Insignia 720p Roku TV, Sharp 4K Roku TV, Nvidia Shield, Windows 10 Pro x64 running Serviio and Plex on a wired Gigabit network.
I think you're correct. There is no headphones icon on the remote screen, and I read that means the device doesn't support private listening. So, that is disappointing as I have two 3's and one 4. I am using the new remote they sent me on one of my 3's that was eating batteries. They had sent me a new remote about eight months ago and I have been using that one on my 4 and it seemed better about batteries, but not that much. So, my expectation for this latest remote is low. I've used the earphones two evenings with it so far. I am expecting batteries to last only two or three more days worth of earbud use, but we'll see. Maybe this latest new remote is different than the last one they sent, despite that they look the same. That's my hope, but not my guess. However, that I can use private listening on the roku 4 in my living room getting the sound through my phone, allows me to watch tv at late or early times at night when my wife is sleeping. That's huge for me. So, that's where I'm at. I'll update when the batteries conk out on the new remote.