It sounds like your TV isn’t making the appropriate CEC handshake when it turns on, when you’re already playing music on the Arc Ultra. Does this happen only when using Alexa, and not when playing music using the controller?
The TV is supposed to be sending volume commands to the Arc Ultra via CEC (HDMI-ARC), there isn’t much ‘setup’ required, since it is an industry standard. I’d be tempted to do a few things. First, check the TV’s OS for updates, and apply them. Then reboot the TV by literally unplugging it from the wall for two minutes, then plugging it back in. Check the Sonos software to toggle the TV Autoplay setting, found in the room settings for the Arc Ultra. Do that a couple of times, to make sure it is ‘on’.
If none of this helps, I would recommend that you submit a system diagnostic within 10 minutes of experiencing this problem, and call Sonos Support to discuss it. Don’t post the resulting diagnostic number here, they get sensitive about GDPR.
There may be information included in the diagnostic that will help Sonos pinpoint the issue and help you find a solution.
When you speak directly to the Support staff, they have tools at their disposal that will allow them to give you advice specific to your network and Sonos system.
