My settings for the Cobalt in Roon are: exclusive mode ON, device set to Renderer Only and MQA core decode ON. This works as expected. These are the same settings for all my remotes on iPhone, iPad and Macbook.
If using the Tidal app, this should also be set to Exclusive Mode.
EDIT: forgot to mention that in Roon, volume for the Cobalt is set to Device Volume.