Roku devices have no actual sleep settings but there are several things to consider:
Many channels have configuration options to turn auto-continuation from episode to episode on/off.
The Roku "Bandwidth saver" function kicks in when the Roku has received no user input in four hours. It asks if you are still watching, and if it receives no response, it exits the current stream and returns the Roku to its home page. You can turn this feature on and off via Settings > Network > Bandwidth saver.
Roku 10.5, currently rolling out, has added a new "Power" item in the "Settings > System" menu for some recent Roku models. If you have this Power item, under "Auto power savings" you can check "After 20 minutes of no interaction" which will shut down the Roku. The home key on your remote should bring it back to life. In my estimation 20 minutes is far too short and you'd probably find it a nuisance.
Roku Community Streaming Expert
I am not a Roku employee, only a user like you. Please, no support questions via private message -- post them publicly to the Community where others may benefit as well.
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Ultra 4800 | Streaming Stick 4K+ 3821 | TCL Roku TV 43S245/C107X
