I also have an echo and harmony hub and a Roku. Along with a receiver. There are two harmony skills. One, the older one require you to say " alexa, tell harmony to.... "to which let's you turn up the volume on the receiver. But echo does now support the harmony directly with the newer app. So, I can say Alexa, turn on the Roku and it will power on the TV, receiver and switch to the correct input for the Roku. I also have it set so I can say alexa turn on Netflix and it turns on the TV, switches input and goes to the Netflix channel on Roku.
I would suggest forgetting about Alexa to start with. Set up the harmony hub first. It will find your Wi-Fi devices and set those up. Set up your cable box and TV (ifnits not supported on Wi-Fi) And favourite channels. Make sure everything works through the harmony app. Then go to the echo, install both harmony skills, click smart home, discover devices and it will set up all your Roku channels and the cable box favourites .
I can say Alexa, turn on the discovery channel. And it will. Turn on Netflix and it will. Switching to the correct receiver inputs as well.
Some things do require you today Alexa, tell harmony to.... Such as pause the movie, mute the volume etc.
But I can confirm it works.