Roku Voice Remote Pro:
Quick start guide step 6 says to choose IR set up or CEC setup. If I don’t know what either one means, how do I choose?
Would someone please explain the difference?
IR stands for infrared. It's the method most remotes for electronic devices use. It's one way communications only, and is used by the Roku remote to control the power and volume settings on the TV.
CEC is a two way communications protocol that passes through the HDMI cable and allows the same sort of control as IR does, and often can provide additional functions. For the Roku, CEC can turn your TV on and switch the HDMI input to your Roku simply by pressing the Home button on the Roku remote. While it is possible that CEC could allow the remote to control more functions on the connected devices, the Roku remote is not designed to do that. So for the Roku remote, it's just a couple of things more that the remote can do, but it can't replace the TV remote for most functions.
The benefit to using CEC is that you don't need to worry about the remote having a clear line of sight to the TV to control it. IR requires that, but since the Roku remote is talking the the Roku (and therefore the TV as well) via radio waves you can have the remote under your bed covers or some other place that it can't see the TV but will still work.
In addition to the reply from @atc98092 ..
An additional benefit of using CEC control, if your TV accepts volume control over CEC (not all do - your Roku will determine this for you when you try to set up CEC control):
If you have an external sound system whose volume is controlled by the TV, the volume CEC commands from the Roku remote should be relayed by the TV to the connected system, just as if you had used the TV's own remote.