There are a couple of things people have reported worked when a setup fails to complete.
Easiest to try, so try this first: Restart your router, even if other devices have no trouble connecting. When your router has completed its startup, try repeating your Roku setup.
More involved: Repeat the setup by connecting to a different wifi network - perhaps via a wifi hotspot on your mobile phone or by taking it to a friend's house - and see if it will complete the setup. If successful, then redo the wifi connection to use your intended wifi network via Settings > Network > Set up connection.
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