Might I suggest you rename the subject of this thread to “Cutting the cord and using Plex DVR?” or something more descriptive of your question.
The Plex DVR only works with over the air tuners, like those from Silicon Dust and a few other companies, or on traditional cable TV service using Cable Card tuners (which might not be in production right now).
As a work around, you might could use Channels DVR which has support for Sling.tv I think. However Channels only has apps for Android TV, Amazon Fire, and Apple TV. Channels also doesn’t manage content outside of what it records. It is only a DVR system. But you could point Plex to the Channels folder for integrating recordings with other content you might already have in Plex.
Since Channels doesn’t have a Roku app, it would be somewhat clunky on Roku, you’d have to use a web browser to set the recordings.
If you want to vote to add support for services like Sling.tv go here and vote on this feature request: Feature Request: Add TV Everywhere to Live TV Dvr
