Have you tried using a different HDMI port on the TV and using the supplied power adapter (plug directly into wall rather than TV USB power port.)
If all four Roku devices are doing this, need to look at whether the TV HDMI port is the issue, or if the method you are powering the devices may be the culprit. Since you have four devices, try the different cables, different power adapters.
If you are receiving this message after watching TV for awhile, try disabling the Auto Power Savings feature if available on your Roku device model. Settings/System/Power/Auto Power Savings/20-min [Disable]
Roku Community Streaming Expert Just another Roku user... I am not a Roku employee. Insignia RokuTV, Ultra 4660, Premiere+ 3921, Express 4k+ 3941, Streambar 9102
Re: When watching program, I get an error saying my cable is not connected
I've had this issue as well and it's annoying as **bleep** but generally if I unplug the HDMI cable from the Roku then immediately plug it back in the problem is resolved. I got tired of doing that so I purchased some 8k HDMI cables and haven't had it happen since.