With a Roku, Private Listening means you can use headphones connected to your phone to listen to anything you stream on Roku. I have some pretty good Bluetooth headphones, and watched an action movie this way a few days ago, and, besides the sound being much more rich, and the dialog more understandable, the headphones really brought out the stereo effects, of which there were a great many (positional effects of people talking from left or right, sound effects moving from one side to another, etc.) and it made the whole movie better.
https://support.roku.com/article/217478308-how-do-i-use-headphones-on-my-mobile-device-for-private-listening-
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