I don't have a smart plug connected right now, but I have other non-Roku plugs that let you set the default power-on or power-recovery state. Searching didn't provide an answer as to whether or not Roku plugs support it, but I have found a request for that feature for Wyze plugs (which Roku plugs are, essentially), so it may be that they don't support it. Trying to use a wall switch in conjunction with a smart plug can be problematic. Generally you want to leave the wall switch on all the time and just use app. I understand what you're trying to accomplish. My recommendation would be to add something like an Amazon Echo or Google Home device to the mix and then you can just use your voice to turn the lamp on or off.
When I get a chance I'll set up a smart plug to see what features it has. If you can set the power-recovery mode to "on" then you can use the wall switch to turn the light on and the app or switch to turn it off. There will still be a problem when you try to use the app to turn it on when the switch is off.
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