All is well with enabling Alexa's Roku skill until I get to trying to discover the Ultra step:
The Alexa app will look for your Roku devices on theDevice Discoveryscreen. Be sure each Roku device is powered on if the Alexa app does not find it.
My Streaming Stick is found but not the Ultra.
The Ultra is using a wired connection to my router (for faster and more stable streaming), not wireless so my theory is that Alexa cannot discover Roku devices that are not using a wireless connection to the home router. However, I can't find this limitation listed anywhere in the Roku documentation.
Check in your router setup for an option to allow devices on your wireless network to discover devices on your wired network. I can't be more specific than that, not knowing what type of router you have. I can tell you that my wired Ultra works just fine in that situation, but my netgear AP has an option to disallow that.