We have two similar setups.
1) A TV, a Denon AVR (with surround audio), and a Roku Ultra (through the AVR).
2) A Roku TV, a Denon AVR (with surround audio).

For 1, when we push the power button on the Roku it powers on all three. You may need to activate the controls through HDMI on the Denon AVR (so that the Roku Ultra is able to power on each device). The Roku remote is also programmed to control the volume on the Denon AVR, so you have both power control and volume. I can't remember if it will power off all devices.

For 2, the Denon AVR sits in a remote closet likely always powered on so when the Roku TV turns on the audio is ready to go. We have the Roku TV sending through ARC controls the audio and volume to the Denon AVR so that the Roku remote also controls power and volume and the surround sound even though it is being streamed through the TV Roku processor.

I have thought about getting a programmable remote a few times, but in reality the Roku remote does everything I need, for now. Also I have the TVs set up in Google Home with some Chromecast controls so I have some controls (like Hey Google voice controls) as well.

You may have all you need with your Roku remote and a little set-up/configuration.