This would take time to implement, as it would need Roku development of the functionality and then each channel would need to implement a way to implement auto-play functionality, but this would be a great feature that I would love to use!
I do have a couple weekly shows that I prefer to catch live, and it would be awesome if my TV automatically turned on or switched to them at their scheduled time, but they are all on different apps, and don't pop up within the app when it is loaded. For apps with a single live stream feature, that could be an easy default, but if an app has multiple streaming channels, playlists, or content options, they would need to build a way to be called with information on what to auto-play, and load it reliably enough to serve as an alarm clock in case of that use. Roku in turn would need to have a scheduled wakeup feature, and individual apps would then need to use that feature to schedule wakeup calls and save that with whatever code the app needs to know what to auto-pay. Roku would probably also want to have an interface the user to confirm the schedule when setting it up, and also have a list of all scheduled wakeup calls in the settings where the user can delete or temporarily suspend scheduled wake calls without relying on the app.