I tried your scheme. It didn't work for me. It asked me to specify my provider. One of the options was Hulu, to which I subscribe, but that didn't work either, because I don't include Hulu-Live in my subscription. Hulu-Live is an additional $49/month. I cut my cable to avoid expenses like that!
Here's the suggestion that doesn't work:
I may have found the problem. Try this:
1. Got to NBC app on Roku.
2. At the top, instead of selecting NETWORKS, select LIVE
3. At this point, you will probably be connected to your local NBC station which is playing NBC network programming. But you wanted NBC or CNBC or another, right?
4. Use your Roku DOWN ARROW to scoll down. Underneath the NBC programming from your local affiliate, you should see choices for what is on the air now at MSNBC and other NBC properties. Highlight what other NBC network you want to watch and press ENTER.
5. You should now be watching MSNBC (or whatever you chose)?
I'm not sure if something changed without notice from anybody or what but this workaround seems to resolve this issue here.
I'd be interested in whether it worked for you, too, or whether there's something screwy going on with my setup.