I am in the UK. I have a new Roku Express 4K, according to the specs it should support HLG. Using iPlayer BBC UHD 4K does in fact work but the picture is incredibly harsh and quite dark (both Brilliance and contrast at 100% on my screen). Both Netflix and Youtube HDR play ok and the picture is decent. I am on Software version: 10.0.1 build 4172
My main TV is via a Virgin Media Tivo6 and again using iPlayer BBC UHD HLG works to a TV screen.
Is this a known issue or have I got a faulty device.
The ROKU detects the screen as DETECTED: 4K HDR10 HDCP 2.2
1) Your firmware is behind (though that happens in non-US regions), check for updates: Settings/System/System update/Check now
2) You never mentioned your TV brand/model # - many TV sets have per-input (HDMI1, HDMI2, etc) and per-mode (SDR, HDR, DV) picture settings, make sure you adjust the picture settings for each mode on each input (if your TV supports that).
3) Test HLG output from another app on the Roku (e.g. RMP with UPnP/DLNA server hosting either of these 2 files from https://4kmedia.org/?s=HLG)