I tried using a Pi-hole for this exact reason: prevent bullcrap TV ads. My Roku TV wouldn't stopped working. I had to whitelist so many roku-related domains that it basically became pointless.

I had the same issue, decided to remove Roku instead…

I used to have a Roku TV, plus a a few of the standalone Roku Ultras for my other (non-Roku) TVs. I got a full page advert when I started up the TV one day and started the process of replacing them all (I think it is when Roku were experimenting with that).

Over about a year I replaced them with Apple TVs* and the user experience is far better, plus the amount of tracking domains reported by Pi-hole dropped precipitously! The TVs don't have internet access at all, they are just driven via the HDMI port now.

* I replaced the Ultras first, and when the Roku TV eventually started acting laggy on the apps I replaced the Roku TV as well.