The antenna is connected to the TV, whether it's a Roku TV or not. It's just a matter of switching the TV settings between antenna mode and Roku mode.
On a non-Roku TV, you'd use the TV's remote two switch between the antenna setting and the setting for the HDMI port to which the Roku is connected. Look for a button on the TV remote labeled "input", "source", or something similar.
Roku Streaming Stick +, 3810X, Ser YH0059427035, wifi - Samsung UN55ES6100
Roku Streaming Stick, 3600X, Ser 5S56D8240827, wifi - JVC EM37T