There is no Alexa setting in the TV. It is handled by the Alexa app. Both the TV and the Alexa skill need to connect to your Roku account.
First, make sure your TV is connected to Roku. To be safe, log the TV out and then back in. Some of my problems were a corrupted connection.
Once the TV is connected to Roku, go to the Alexa app on your phone or tablet. Go to skills and find the Roku skill. Add it. It will ask to connect to your Roku account. Set that up.
After that, you should be good to go.