No batteries included in the Roku remote

Was the box sealed when you bought it?

The most likely explanation is that somebody purchased the Roku to get the Voice Remote then replaced it with a non-Voice remote they had on hand and returned it to the store, who then resold it to you. 

Take it back to the store for exchange.  If you're lucky they won't think YOU are the one trying make the remote swap.

Edited to add..

If they are still out of inventory, register your complaint and get them to agree to give you an exchange when they get some.  Meanwhile, unless the swapped remote is nonfunctional, you should be able to use it with the Express until the store's inventory is replenished.  This will be an infrared remote that "just works" without being paired, in fact, it cannot be paired.  Just be sure you have a direct line of sight from the remote to the front of the Roku.

And further edited:

Or just return the whole thing to Home Depot for the refund and purchase from somewhere else.  Wal-Mart, Best Buy, Target, Amazon, etc., or directly from Roku.