While it's certainly possible you received a defective Express here are several things you can investigate. If you're unfamiliar with configuring your router you may need to go back to your ISP's support for some of them.
It may be informative to check the connection parameters on the Roku that is working, via Settings > Network > About. It will show you the network name and channel number it is connected to. Channels 1-14 are in the 2.4 GHz band, channels 36 and up are in the 5 GHz band
The Express is a budget model that has a single band wifi. it can only operate in the 2.4 GHz band and cannot see the 5 GHz band at all. If your router is a dual band with both 2.4 and 5 GHz bands, make sure it has the 2.4 GHz band turned on. If your working Roku is connected to channel 1 through 11, your router has the 2.4 band turned on. If your working Roku is connected to channel 36 or higher it is using the 5 GHz band and tells you nothing about the 2.4 GHz band.
In the 2.4 GHz band, all Rokus only support channels 1 through 11 that are used in the US. Make sure your router is not set to 2.4 GHz channel numbers 12 to 14 which are used in some other countries
It's actually possible to be too close to your router such that the wifi signal overpowers the Roku's wifi receiver.
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