Ok.
Here's more food for thought. I just tried setting up the universal remote option for my tv remote. Set it up with the receiver as the control unit and every Roku function and receiver function works perfectly except the volume control which defaults to the tv's volume. I don't even get that with the Harmony.
Not sure if this will help or not, but I connected my receiver to the TV using the HDMI input with ARC (for me it was HDMI 2) that way whatever is showing on the display is outputting sound to the receiver and the volume control always works over the receiver.