You should contact MSG GO and ask them to create a Roku channel. For the most part it isn't about Roku adding a particular channel; it's about the provider creating a channel/app for the Roku platform.
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I recently received a message from MSG.they say that msg is currently not available and they are working on providing it in the future.As for trying to enter msgplus.tv on a app search,forget it.The search option only has letters and numbers,no punctuation of special characters.I'm sure Roku can fix this with a software upgrade.For now I'll watch my Sabres games on my computer.