I just went through the steps on my Roku Ultra as if I was going to change the power setting. I was able to get to it by going to "Settings", scrolled down to "System", clicked "System", and the scrolled to "Power". Click on "Power" and it should give you the options for "Auto power savings" and "System Restart". Click "Auto power savings" and there should be a check box beside "After 20 minutes of no interaction". Make sure that check box is not checked. If it is checked, then the screen saver automatically shuts off after 20 minutes of inactivity.
I hope this was helpful to you.