@Joeylandwehr30-
Except for a handful of newer models with the proper chips, the Bluetooth capabilities of most Rokus is to RECEIVE Bluetooth audio from external devices, not to SEND it.
See this article for a list of Rokus with direct Bluetooth headphone/speaker support. At this writing the article has not yet been updated to include the Ultra 4850 which does have headphone support.
The only TVs so equipped are the Plus and Pro series actually produced by Roku and currently sold through Best Buy.
Roku Community Streaming Expert
I am not a Roku employee, only a user like you. Please, no support questions via private message -- post them publicly to the Community where others may benefit as well.
If this post solves your problem please help others find this answer by clicking "Accept as Solution.".
Ultra 4800 | Streaming Stick 4K+ 3821 | TCL Roku TV 43S245/C107X