100% agreed. I've never installed a card with the item powered on, but that works.
There should, however. be a way to manually do it as well.
Just a comment to everyone. The only thing an SD card does on the Roku players that have the slot is expand the storage space for channel storage. It is not used by the Roku in any way to improve performance. It will only let unused channels load faster, as Roku will offload a little used channel to instead store the more commonly used channels. It makes a small difference in the time it takes to load that channel, but once it's loaded there's no additional benefit to using a card.
Also, regardless of the size of card you use, the Roku will only use about 2GB of space. So installing a 32GB card is just wasting the capacity of the card.
Yes, I was inserting it, then turn it on. Format message will dissapear in second not giving me chance to format. Then I did it while it was on and it workked. Used 4gb Sandisk.