Sky Wi-Fi is a UK thing, right? I don't think this has anything to do with you not being able to connect, but be aware that if it's not an Express 4k (it's always best to give us the model number, not the name) it will only connect to 2.4GHz and only channels 1 to 11. Make sure your router does not have its channel set to "Auto".
If this is a new device and you're trying to activate it, try using the hotspot on your phone (if possible) just to get through the initial setup. Make sure it's set to use 2.4GHz and a channel from 1 to 11.
Roku Community Streaming Expert
Help others find this answer and click "Accept as Solution."
If you appreciate my answer, maybe give me a Kudo.
I am not a Roku employee.