I am also having this very same problem. Followed instructions to set up remote to Panasonic television. But cannot turn off television with Roku remote; have to use Panasonic remote. How do I solve the problem?
When you pair the remote with the TV, the device will actually cycle through a series of possible codes for your TV. Usually, when you respond that the device turned the sound off, that's good enough. However, that's not always the case. Sometimes, it's the second set of codes. Or the third. Or, according to some users, the 43rd. No, I'm not making that up, but it was for a different brand I believe.
What you'll need to do is get your TV remote and a notepad to keep up with which code you selected each time through.
If the first only controls the volume, but not the power, next time, use the TV remote to unmute the sound, then tell it no (that's the order). Try the next one that mutes the sound. If the remote now controls the volume and power, you're done. If not, go again, this time advancing to the third one. And so on, until you find one that works.
Note, that you may never find one that works. Or you might. But, that's how to find it, if it exists.