You’re getting so close! But it looks like there are a number of things here that you need to clarify.
First, the screenshots posted by @Simon_Arnold3 most recently relate to the configuration of the Deep Harmony Extension in Roon. The screenshot you posted comes from the Harmony App. So of course they will look completely different! You need to make sure you’re clear on the control chain I summarised above so that you know exactly which element you need to connect to which, and where you do the configuration.
Second, the screenshot you posted from the Harmony App is where you want to set up the activity that is eluding you. So go with it. You have two ways of proceeding. You can select Watch Roku - remember that the Roon Controller is known to Harmony Hub as ‘TCL 4K TV Roku’ (I may have jumbled the order of the words) before you changed its name, and Harmony is trying to offer a helpful suggestion. Alternatively select Add your own activity which should appear as the third option. Try either and see where you get to.
Then, once you have created the activity in Harmony that uses the Roon Controller, you’ll be able to access the screen in Roon to manage the Deep Harmony Extension. Bear in mind that @Simon_Arnold3 most recently posted a screenshot of a different part of Roon: he is showing how his device is set up in Roon, and that’s where you configure the Deep Harmony Extension.
And don’t worry about the colour of the screen - I think he’s using the Dark Theme. I’m not, and my corresponding screens have a white background.