Separate Roku devices, like Ultras, do not turn off, they are on whenever plugged into a live power source. This avoids Roku startup delays and permits them to check for and download updates in idle hours. When not actively streaming, power consumption is very low.
With a point-anywhere remote that has power and volume buttons, as comes with the Ultra, these buttons work the TV only.
It's good practice to get in the habit of returning the Roku to the Roku home page when done viewing to prevent it from streaming unwatched and wasting bandwidth.
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