I added Apple TV to my roku device but it will not load the video what do I need to do? Should I be sharing my screen from the iPhone

Try these steps: If you can't stream or watch movies or TV shows from the Apple TV app, iTunes Store, or third-party apps

If that doesn't help, contact Apple Support: Get Support

You can’t use Airplay to a Roku natively; Airplay only works with some smart TVs and Apple TV hardware. However, Roku has an iPhone app that can stream to your TV: https://www.idropnews.com/how-to/how-to-airplay-your-iphone-to-a-roku-tv-or-roku-streaming-stick/88392/

ADDED: You can play some apps such as Youtube. See: https://support.roku.com/article/360002990094