I just bought a new Roku 4k+ device with voice remote to replace an old device that stopped working, and I also have a Roku 4k device w/ simple remote in another room connected to a second TV. Both devices are powered by wall outlets, but while the new 4k+ is on all the time (unit is always warm and the front LED white light is always on), the older 4k device's LED light only comes on when I press the Home icon on the Roku remote and while actually using the Roku device. Likewise, the 4k's LED goes off anytime I'm not using that Roku device. I'm wondering why the devices act differently, and although they both seem to work OK is there something wrong with one of them? Should the 4k+ device always be warm (no overheat warnings...yet)?
It's somewhat dependent on various power saver and screensaver settings. You can try comparing between the two.
That said, any power difference between "on" and sleep is probably little to none.
Can also add it may also depend a bit on the TV it's connected to. If the HDMI port does not power down, then the Roku itself may not go to sleep.