Not sure if every TV is capable/recognizes the USB to LAN ethernet adapter feature. Have not used it before on a RokuTV, but you are supposed to be able to just plug it in, do a system restart and if it is going to work should be recognized when system boots back up.
SETTINGS....SYSTEM....POWER....SYSTEM RESTART
then let TV Reboot.....
SETTINGS....NETWORK....SET UP CONNECTION
Try steps above since you already have the adaptor. Maybe it just failed to recognize or you didnt do system restart. Or maybe the ONN is lacking the feature.
A lot of people knowledgeable in this forum so maybe they will be able to offer you better advice.