I can't quite tell from your description: is the outlet you are plugged into a USB port on the TV, or are you using the power adapter that came with your Roku and connected to a wall outlet? If you are plugged into the TV, then the message is accurate and you should be using the wall connection.
Dan
Roku Stick (3600), Ultra (4640), Ultra (4670), Ultra (4800), Premiere (3920), Insignia 720p Roku TV, Sharp 4K Roku TV, Nvidia Shield, Windows 10 Pro x64 running Serviio and Plex on a wired Gigabit network.