As you can control apps, I'm assuming you're talking either ads or content within apps.
For ads, know that there is no functionality for rating or filtering ads. This is true of Roku, Amazon Fire TV, and Google/Android TV. Only Apple TV does not have ads within the interface. Or, at least, not overt ads. Like all services, they do push content they have designated for promotion.
For content, that would be within the app itself, if there are content ratings. Some apps do offer content ratings and filters. Some have Kids profiles. But many simply offer content, take it or leave it.
If you want to suggest filtering ads (which I suspect is the impetus for your post), you may want to submit that on the Suggest a Feature page.
Roku Community Streaming Expert
Note: I am not a Roku employee.
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