Got it working with AutoHotKeys on Windows (trying to get Windows to natively do something useful with media keys is maybe not really possible.)
So the Teenage Ortho Remote does everything I want in Roon on Windows (vol up, vol down, play, pause, skip track, go to previous track).
Next then is having it run via the Roon extension on RPi, and then the PC doesn’t even have to be turned on. For that I need a BT 4 dongle that is supported by Linux / RPi (I ordered the Pluggable BT 4).