First, make sure Wi-Fi is really enabled on your phone. The Roku device and phone have to be connected to the same network. Somewhere in the phone's settings you should be able to find the IP address it's using. It should look much like the Roku's IP address except for the last of the four numbers (e.g., Roku is 192.168.1.12 and phone is 192.168.1.23). If they're wildly different then they're not connected to the same network. Also, it could be a setting in your router called "Client Isolation" that prevents two devices connected via Wi-Fi from communicating with each other. You'd want to disable that if you have it.
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