Now that I think of it, I believe I actually have the Roku Premier so I think my remote is different than the Ultra.
I just bought mine a month or so ago and it has no mic icon. I've also tried using voice commands with Google Home to turn up the volume. The Roku does recognize the command but it still does nothing. (And yes, my software is up to date.)
So, volume control is apparently non-existent for the Roku Premier.
I agree that they should figure out how to control volume. I have an old Sharp/Roku TV and it had volume control (mute vol+ or vol-) and I could even turn the TV on/off. All showed up on the screen on my iPhone. We "upgraded" all of our TVs to Roku Ultra and hardwired them. Now we have fewer features. Bummer to take a step backwards.
The issue I had was with setting up my Roku remote with the Roku On-screen setup. Once pairing was completed, I could hear the music through each Samsung code setting. It never went off as would be expected. The on-screen message said my remote could not be set up with my Samsung TV.
With my Roku configuration, my smart TV was nothing more than a monitor for my Roku Ultra. I was able to turn the TV on and off but my volume and mute controls on my remote were not working at all.
My Sonos sound bar was the component that controlled my volume and as it turns out, it is controlled by IR input.
On my Galaxy S10 phone, I have the Sonos app installed. Opening my Sonos phone app, I went to Settings->System->and selected my Sonos system under the Products setting. I then scrolled down to the Home Theater section and turned on the Use IR setting. This allowed me to control the volume and mute the sound with my Roku remote. Changing this setting also worked when my A/V system was set up to use WIFI. I went through the Roku remote set-up again and after confirming the sound was heard, then the sound was no longer heard...indicating the volume controls on my remote were now working.
If your configuration is similar to mine, maybe this will help solve your issue or spark an idea that will send you in the right direction.