If you go to https://my.roku.com and log in, then scroll all the way down, if you still see the device, then it's still tied to your Roku account. Unless and until they do a factory reset, it's still on your account. Now, while that is still the case, it may be that Roku will be able to work with you, but that can be problematic from a legal standpoint. There are all kind of potential landmines to navigate to attempt to get Roku to find the IP address to which the device connects in order to attempt to locate. Even then, you would need the cooperation of the ISP to pursue.
Of course, if you don't see the device, they've done a reset and you have completely lost any hope at all of locating it via IP address. Again, if the legal obstacles could even be overcome.
So, while my answer of "no" may not mean it's not completely impossible to locate, there are certainly no tracking devices within the device. Air Tags and other such third party items are the only way to add such functionality.
DBDukes Roku Community Streaming Expert Note: I am not a Roku employee.
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