Check the input set up menu on the receiver to confirm that video and audio are to be received via HDMI.
If you can't get it working then plan B would be to connect the Roku to the TV and use the HDMI/ARC function to get audio to the receiver. The receiver has to be connect to the HDMI input labeled ARC and ARC has to be turned on.
Alternatively you could add a audio connection from the TV to the receiver (usually optical).