I have been living with this issue for a couple years now. I was hoping that the developer of the playstation vue app would have solved it by now.
Background: When recording a live sporting event, you actually have to record ALL events of that type. So to record a specific college football game, you have to record ALL college football games on all channels. I believe this is Sony's shortsightedness, not the Roku app. But on Sony's website, you can list the "episodes" (games) by day, and see all that happened that day. This is important, because even though its a pain to find your game, it is possible.
The Roku playstation vue app only shows an handful of past "episodes" (games) and a handful of future ones. So if you record a 12:00 noon game on Saturday. By 4:00 PM on Saturday the game is no longer available to watch on a Roku. This is fine for most shows, but because of the goofy way Sony makes you record sports, it is unusable for sports.