When you publish your app, you can specify the type of content in your app, which I assume is there to allow filtering.
As far as I'm aware, Roku doesn't allow any explicit content in public channels, but there are few restrictions on private channels.
On a side note, be prepared for having your account renamed... the "Roku" prefix is usually reserved for actual Roku employees.
I'm aiming for a public channel, and the Developer Agreement definitely restricts obscenity, pornography, and profanity there. But I can't find anything about embedding advertising links. Theoretically, one could link to a children's cartoon video in such an ad, get the app approved, and then dynamically change any web-linked files to something extremely explicit without Roku's immediate knowledge.
Not that I'M going to be doing that! I don't want to do anything to get my app in trouble! But I can see how ads, which intrinsically link to external media sources, might need to be restricted in some way.