You don't need Wi-Fi to connect a physical remote to the TV. You do need the TV to be connected to Wi-Fi in order to use the app as a remote. What remote did you get? Roku TVs only work with Roku Voice remotes or a remote from the TV's manufacturer (TCL, Hisense, etc.) or some universal remotes. Remotes from Roku stand-alone players won't work with a Roku TV.
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