My Roku is connected to Sony AVR via HDMI. It works fine - no audio issues.
I don't think the Roku or TVs cause the problem. Have you tested your cables?
Are you confident the cables you use capable to deliver HDMI sound?
There're lengthy discussions concerning HDMI cables: their price, quality, and
everything else. I spent several hours researching and reading. My conclusion?
Buy new HDMI cables. Only, make sure the cables you buy are HDMI v1.3a or
v1.3b compliant (tested), and never pay more than $10 for them.
In case you find out that the cables you use are faulty - here are some samples
of great sources to buy your cables from, and don't be surprised by unusually low
prices - they are as good and even better than any Monster-scam $100 cables.