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.

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.

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.