Assuming you have your Android phone constantly mirrored (Miracast screen mirroring) to your Roku, then you would see them.
Rokus arent Android devices, so there no inherent system-level connectivity or integration (which is what would be required to show notifications at any/all times without interrupting current viewing/usage).
You can always suggest such a feature, but chances of it ever happening are probably right around 0%.
https://community.roku.com/t5/Suggest-a-Feature/bd-p/Wishlist
