[lukifer]

It can be annoying to have multiple "layers" of volume control: one for the player, one for the TV, one for the receiver/sound system, etc. It's arguably a lesser evil to leave volume completely up to the user's TV or audio system, the way Apple TV does.

[dfxm12]

But then you need multiple remotes, which I feel is the greatest evil of all. I agree the Roku doesn't need its own volume control, but if you stick one on there, you can make it programmable to control the volume of your TV.

[lukifer]

That would be ideal, though it might complicate the experience for non-techies, especially during setup.

Tangent: one thing that drives me nuts about universal remotes that they are all modal; ie, you must put the remote in receiver mode before you change the volume, etc. I wish I had a remote that could remember device presets for each button simultaneously, such that volume always uses the receiver RF, D-pad always uses Apple TV RF, etc.