Aren't roku devices notorious for gathering data on how you use their hardware and what you watch? In fact as far as I know you can't even use their TVs without actually creating an account with them. If this is still true, it's completely NUTS!
If you've already connected the TV, you can factory reset it to an unconnected state.
* using fallback hardcoded IPs when DNS fails
* using DoH so it's impossible to tamper with the response
* using the same domain for spying as other critical functions
* new domains might not show up on the filter lists right away, and if the TV keeps a backlog of failed requests, all your viewing history might be uploaded when that happens