Roku needs to be connected to the same network that Control Center is using in order to find it. It is easiest if this is setup, before connecting Roku to Control Center. If Roku is not on the same network as Control Center during setup, the "Is your Roku in the list below?" screen will only have one option titled "I don't see my device. Help me with this step". Selecting this item will allow you to see the Roku interface.
From here you will need to use the Roku remote to set up the Roku device so that it is on the same network as Control Center.
Once you have successfully connected your Roku to the same network, use the Control Center remote and press the CAAVO button as listed onscreen. You should then see Roku listed in the "Is your Roku in the list below?" screen. Select your Roku device and follow the onscreen instructions from this point.
Note: If you are unable to locate the Roku remote or use the Roku app, you may not be able to complete Roku setup at this point. Press the FF (>>) button on the Control Center remote to skip setup for Roku. You will not have control of Roku until you finish setting it up.