Individual Roku devices have no parental guidance controls. If you log into your account on my.roku.com you can set a PIN and choose when it will required, but this setting and the PIN apply to the ACCOUNT and will be the same for all Roku devices registered to that account. But even so, the rating controls ONLY apply to Roku's own The Roku Channel, not to any other source. In order to have different settings for each device, you would need to set up multiple Roku accounts, using separate email addresses, register each device to the appropriate account.
You may find some of your individual channel apps have their own parental control settings, which may also apply to your account with that channel and not to each device separately.
Note that the multiple Roku account approach makes it difficult or impossible to set up paid channels purchased through one Roku account to display on another. You are better off placing any such subscription directly with the channel which will allow you to play it on any device for which a dedicated channel app is available.