TL;DR, enable the Wi-Fi in your PC
Here is my setup, I have a Windows 10 PC in the basement running as a server. It's only connected via ethernet. My Roku TV is located at the bedroom on the second floor, and I want to mirror the screen of the Windows server to the Roku TV.
Problem: Following the official doc (https://support.roku.com/en-ca/article/208754928), no Roku TV is shown after clicking "Connect".
Root cause: Roku screen mirroring uses Miracast. Discovery requests to identify Miracast receivers can only occur through the Wi-Fi adapter.
Solution: I added a Wi-Fi card and an antenna to my Windows server. Finally, the Roku TV is shown in the device list.