Roku remotes support most TVs. Most does not mean all.
You didn't provide full context, so I'm guessing your Roku remote isn't automatically controlling the volume or power on your TV (one or the other, or both), and you're using the menu system to attempt to set up the remote to work with your TV's IR control, by going to Settings > Remotes & devices > Remotes > [remote] > Set up for TV control
From that, I am assuming you don't see your TV's model listed. If that's the case, then Roku doesn't support your TV, at least officially.
However, all may not be lost. Some users may have encountered your situation and have a work-around that would be acceptable. But we need more information.
What is your Roku device model number? Settings > System > About
What is your TV make and model?
DBDukes Roku Community Streaming Expert Note: I am not a Roku employee.
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