A warm welcome here in the Roku Community, @hunnu!
We appreciate you reaching out for support about being unable to show the on-screen display of the volume indicator when increasing or decreasing it using your new Roku Voice Remote Pro 2nd edition. We'd be happy to be of assistance.
Kindly make sure to remove the remote you're not using that was previously connected to your Roku Ultra by navigating to your Settings > Remotes & devices > Remotes > Choose the remote you want to remove.
After doing so, set up your new Roku Voice Remote Pro 2nd edition under the Remotes category, select Set Up remote for TV control, and choose CEC setup.
Once again, congratulations on your new Roku Voice Remote Pro 2nd edition.
Best regards,
Carly
Carly Y.
Roku Community Moderator