There are some ads and tracking features you can disable on a Roku:
You can “limit ad tracking” on your Roku to disable personalized advertisements. You’ll see generic advertisements rather than ones tied to your device history instead.
https://www.howtogeek.com/332829/how-to-disable-custom-ads-and-tracking-on-your-roku/
You can disable “info from TV inputs” on a Roku smart TV to remove pop-up advertisements that Roku sometimes shows over live TV from an OTA antenna or cable box.
https://www.howtogeek.com/443406/how-to-disable-interactive-pop-up-ads-on-your-roku-tv/
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Is There Any Way to Disable Roku Ads?
If you have a Raspberry Pi, you can set up a “Pi-Hole.” It can reportedly block ads by preventing your Roku from connecting to the advertising server
That’s a solution for more tech-savvy users