Sorry to resurrect this old thread, but I had this problem, and I found a solution to it that I haven't seen on the Roku forums. I was using the Roku Streaming Stick, and when connecting to the network, I had 3 checkboxes: wireless, local network, internet. It would fail at local network. I was able to connect it to my phone hotspot, and then it updated firmware, and I was able to finish setting it up. With the new firmware, when connecting to a wireless network, there were only two boxes: wireless and internet. Now it would fail just at wireless.
The router I was trying to connect it to was a Calix C844G all in one modem / router that was pre-installed in an apartment through CenturyLink. I went into the admin of the router, and under advanced > dhcp settings, there is a setting to enable or disable special characters. Once I enabled special characters in DHCP, it would now connect. Hope this helps someone.