Roku devices may use Automated Content Recognition to identify the shows you are watching for personalization, analytics, and advertising purposes, depending on your privacy settings.

Roku privacy settings are available in on the TV in Settings > Privacy.

• Smart TV Experience controls whether Roku collects data about what you watch on your TV, including content from connected devices like cable boxes. This information is used for personalization, analytics, and advertising, and shared with third parties for ad and measurement purposes.
• Advertising has controls for whether Roku shows you ads based on your interests, and allows you to reset the device advertising ID.
• Voice controls whether Roku apps can access the microphone on your remote or mobile device.
• Privacy Choices lets you control whether your data is shared or sold, and whether sensitive information is used.

Source: Consumer Reports