This is a new feature from Roku that I just learned about. For the time being it's only working for the newest Streaming Stick.
https://support.roku.com/hc/en-us/articles/217478308-Private-Listening-on-the-Roku-Mobile-App-
"The exciting new Private Listening feature for the Roku Streaming Stick (Model 3600) allows you to listen to your favorite movies and shows via headphones through your iOS or Android mobile device."
I was thinking how convenient it would be for me to have the same functionality in the Android Plex app. Using at night headphones connected to my tablet or smartphone while watching the video in the TV with any of the different Plex boxes that I am using.
There are of course alternatives to be able to do this, but for my particular case this would be perhaps the best in terms of convenience and audio quality.