Is your wireless password just letters and numbers? There's been past reports of users that can't enter special characters ($, #, @, etc.) I've also heard of users having issue with WiFi extenders, when the Roku can connect to the main wireless without issue.
Since you're still on the initial setup, some users have had success using a phone hotspot to connect to the Internet and complete the setup. Then once it's completed, they've been able to connect to the home network without an issue. It doesn't make any logical sense, but for whatever reason it seems to work.
Dan
Roku Community Streaming Expert
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