Not sure why I had problems the first time around, setting up an activity. I had initially set up my activity as "Utility", but the Harmony wizard didn't ask me what devices are used. So I set up a "canned" activity (in my case, Watch a DVD), renamed it "Watch Roku" and now it's working great.
I set the Guide button to do the Roku home command, the Exit button to do the back command, and set the Jump button to the instant replay command. Works great!
The only thing I wish would work would be the keypad. Apparently, on Roku search keyboard screens, the keypad on the Harmony won't work.
Logitech Harmony One remote
Roku 2 XS
Samsung Blu Ray
iPad 2 - DVP Remote app, Plex app, Remote Buddy app, Apple Remote app, iPeng app