I purchased a Roku Express 4k+ as a replacement for a Roku 3. The Roku 3 worked perfectly with audio and video. But when I swapped in the new Roku Express 4k+ I got no audio (even with updated firmware).
When the device would restart I would get audio during the "dancing Roku" segment, but then no audio at all in the menu or in any apps. If I connected the Roku directly to the TV I would also get audio, but when I connected the Roku Express 4k+ in the same way as the Roku 3, through my Onkyo AVR I would get no audio at all (except during the dancing logo).
The only way I was able to solve this was by finding an obscure post talking about how you can hit the * button (Options menu) in an app and that will bring up a Volume Mode menu. The Volume Mode was set to "Off" and the moment I switched it to Leveling or Night Mode, the volume instantly started working (both in apps and in the menu). It even worked when switched back to "Off." It was like switching this setting suddenly turned the audio on and made everything start working.
I think this is a software error that needs to be corrected. Nothing else worked. I tried changing every single audio and HDMI setting in my TV and Onkyo receiver and nothing worked except this.
Hopefully this helps someone and hopefully Roku can fix this in the next firmware update.
I admit I haven't tried my 3941 connected to an AVR. But switching on volume leveling does offer a clue. Using the volume modes, it changes the Roku audio output to two channel PCM (at least I'm pretty sure it's PCM). Virtually any AVR supports stereo PCM, but perhaps your Onkyo doesn't support the audio being used when the volume mode is off.
Does your AVR support Dolby Digital Plus? If not, that might be the issue. Try changing the setting in the Roku under Settings/Audio/HDMI from Auto Detect to Dolby Digital. Perhaps the Roku and the Onkyo are not handshaking correctly to set the right mode.
The moment I changed Volume Mode it started working. It even worked when put back into "Off" mode.
The Onkyo AVR does support Dolby Digital Plus. It is an Onkyo TX-NR646. I tried "Stereo PCM" and other modes, but I don't think it did anything.
Not sure why there was sound during the restart but then no audio at all. Or why changing the Volume Mode (even all the way back to "Off") made the audio start working even outside of the app (i.e., now the clicking noise during the menu works as well).
OK, so it still does sound like some sort of HDMI handshake failure that cycling the volume mode resolved. If it continues without a problem, then simply chalk it up to some gremlin and ignore it. If it recurs, then I would either return it to where you bought it for a replacement, or ask Roku to do a warranty replacement. Because that shouldn't happen.
If it does happen again, try powering everything off, remove, clean, and reinsert the HDMI cables to ensure they are well seated, just in case. Roku support would likely want you to do that before any warranty replacement anyway.