Due to various technical challenges, the Playlists feature has been removed from the Roku Spotify app.
It's just too hard, I guess.
Interestingly, their Spotify Gear page lists 135 devices that Spotify would love their customers to use to stream Spotify. Roku is not one of them.
Neither is Roku is listed as one of their "Partners". However, Roku currently has a job listing on their web site for "Sr. Manager, Partner Engagement (Special Markets/International)", whose duties include "Manage strategic partner relationships - Be the primary liaison with key content providers in our “Special Markets” such as one of the following ... Music (Pandora, Spotify, etc)". I have no idea what that's all about.