The Roku OS can offer different things depending on the device. It can off offer different things because of the OS version. Major operating system changes can add, remove, or relocate functions and their settings.
This morning, I checked a Roku Stick+ running OS 9.4.0 and there is no "Device connect" setting, while my Streambar that is running 10.0.0 has the setting. And, I've seen the setting before. As I've had Roku devices since 2010, it could have been on any number of earlier releases.
Let's get a little more information about your system to help determine what's going on regarding the menu commands.
First, ensure your device is up to date. Go to Settings > System > System update > Check now
If it updates, keep doing the update again and again until it says "All software is up to date."
Next, go to Settings > System > About and let us know what it says under Model (we're really looking for the model number) and Software version.
There is an observation I'd like to make, and some speculation.
You approached VidAngel about adding their app. The instructions about "Device connect" relate to mirroring a phone or tablet, and have nothing to do with installing an app, or allowing the Roku to install an app.
This makes me think VidAngel does not have an app, and is telling you how to use the app on your phone or tablet to mirror your screen. What it looks like they're doing is telling you how to allow your VidAngel mobile (phone or tablet) app to play and simply display the content on your TV via Roku instead of on the mobile device.
To confirm that, if you would provide to us a copy of the instructions, or read through them carefully and see if it includes launching the app from a phone or other mobile device.