The Roku does not connect to the TV wirelessly. It requires the HDMI cable connected between the Roku and the TV.
Assuming you have the Roku connected via HDMI correctly, do you see the dancing Roku logo when you first power the Express on? If not, there's either something wrong with the TV input or the Roku is defective. Can you plug it into your Roku TV and test it there? There's no problem using a Roku player on a Roku TV, other than needing to make sure you're using the correct remote.
Dan
Roku Community Streaming Expert
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