Hello, my name is Rusty. Yes, all Harmony remotes are set up for any Roku. Your particular remote can control up to 15 devices. As long as you haven't filled them up, you can add Roku. When you choose your remote in the software, choose devices. Then go to add device. That will give you the option to enter ROKU as the brand, and 1 as the model number.
Since the Harmony 900 has RF compatibility, it will work with the RF commands for Roku.
It sounds like you have older software. Roku is hidden under either amplifier, or game console, I cannot remember which... The new software works better, and it will keep your profile. It will just ask you for the device and model number, no drop down menus. Click here. Let me know if you have any luck with the new software, they made it a lot easier to navigate.
I've been helping people with these for about 5 years, and the software is constantly changing. I do recall having to set mine up the way you are attempting, but the software made it simple.