I had also bought the same microSD card as Kturbert (SanDisk Ultra 32GB microSDHC UHS-I card with Adapter - 98MB/s U1 A1 - SDSQUAR-032G-GN6MA) and when I disconnected power from the Roku Ultra and put in microSD card and then booted up... it did not recognize the memory.
After reading other posts here, I decided to do the slow format option mentioned above, since I had a card reader that could accept the microSD card via its included adapter. I formatted it as FAT32 with "default" allocation size. It took a while (maybe almost an hour?). After it was done, I did the same procedure above and still, the Roku Ultra did not see it when I booted it up.
It then dawned on me to try and put the microSD card in AFTER the Roku Ultra was fully booted up. THEN... it finally did see it and gave me the format screen and was able to complete the format procedure... after it was done, 1.7 GB was already used on it (quite a bit, considering the Roku Ultra supposedly only comes with 2 GB itself).
So, why doesn't it say ANYWHERE in the documentation that you need to put the microSD card in the unit AFTER it is fully booted up? That's a pretty big oversight. I'm used to putting memory cards, like these, into a smartphone/device ONLY after it is powered down. This is the first time I've ever done it when everything is powered up (yes, I inserted it into my computer's card reader when the computer was booted up to format it... but that was putting it into a USB driven connection. I'm more used to putting these in smartphones and you usually do that when they are powered down, so I assumed the Roku Ultra was more similar to that situation).
Again, just really surprised the procedure is not mentioned ANYWHERE of how to do all this. I thought I had a non-compatible microSD card... but that was not true. I just needed to know the right procedure. In the end, I'm not sure I had to do a "slow" format for it to work... maybe it would have worked otherwise... but at least the slow (i.e. not "fast") format and inserting the microSD card into the Roku Ultra after it was fully booted... worked.
It would be really easy to add such instructions in the Roku Ultra manual... like, "If you want to add a microSD card to the device, just make sure the Roku Ultra is fully booted before inserting the microSD card. If you have any problems with the Roku Ultra formatting the microSD card, you may need to remove it and do a slow (i.e. not "fast") format of the card via your computer. In Microsoft Windows, be sure to select FAT32 and select it to use the default allocation size. This formatting process will require a card reader that can either read a microSD card directly or one that can use an adapter to read a microSD card." There... something like that. A few sentences that would have saved me a LOT of frustration.
Also, if the documentation would let us know if there are any lower or upper limits to the size of microSD card it will accept... or any upper or lower speed requirements... or generation/types it would accept... or any other information to let us know what the Roku Ultra will or won't accept as the microSD card. For example, when looking at microSD cards to buy, being presented with cards that were 128 GB or 512 GB left me to wonder if the device would even recognize those or not. Or if the cards had very fast upload and download speeds, if that would potentially help or end up being a problem (e.g. not compatible somehow). Also, some idea of what target size to get would have been nice as well. I didn't want to get something way too big or way too small either. So, some examples of how much memory would be needed for different situations would have been nice too. As for me, the 32 GB card was around $10 and I didn't want to spend more than that for this purpose. So, basically it was the "top of the bell curve" for size vs. price.
