I have the same issue... Roku Express, 9.4.0 build 4200-AE. Youtube TV and Amazon Prime will kick me back out to the home screen after about 5 minutes but Netflix can stream all day with no issue. I removed the apps restarted and reinstalled with no resolution. I performed a factory reset and still have the issue. My router is in the same room, directly plugged in to power outlet, tried different HDMI ports and cables. Not sure what to try next...
Make sure your internet download speed is sufficient (Settings/Network/Check connection).
Change the 2.4Ghz WiFi channel in your modem/router/gateway, or reduce the bandwidth from Auto or 40 to 20Mhz.
Try limiting your Display resolution to 720p (Settings/Display/720p).
Otherwise, report the issue to Google and Amazon:
Finally, you can return/exchange it, if its within your retailers return window.