Help getting started with Roku devices, including setup, connecting your device to your TV, linking a Roku device to your account at my.roku.com/link, adding channels, subscribing to services, and more.
I haven't heard of that message before. Since you say it came at the end of set up (meaning Roku has been happily displaying on your TV all this time) I wonder if it means it just couldn't find an IR code for your TV??? (Assuming your model is one of the ones with TV controls on the remote.???) It might help to tell us the model of Roku, and the TV, and just when this message appears.