With a Roku, Fire TV Stick or Chromecast
The stick is not the TV, so it forwards volume and power over the HDMI cable. Turn on HDMI‑CEC on the TV: it is called Anynet+ on Samsung, SimpLink on LG and Bravia Sync on Sony. Some TVs accept volume but not power this way.
Connect to the TV as well
If the TV itself is a smart TV on your Wi‑Fi, add it in Kliky as its own device and use that for volume, power and inputs. Keeping more than one TV or device is part of Premium.
With a soundbar or receiver
Sound that goes through a soundbar is controlled by the soundbar. Set the TV to pass volume to it over HDMI ARC or eARC.