This is due to a feature in the Roku called "Wi-Fi" direct. This allows for wireless devices (such as phones and other wi-fi remote controls) to connect to the Roku. As the Roku 2 comes with an infra-red remote control, this additional Wi-Fi network isn't really needed (as long as you're not planning to control it via wi-fi).
Connecting the Roku 2 to the internet via a wired connection means that the hidden Roku wireless network can be on a different channel, but to reduce interference I've disabled Wi-Fi Direct on my Roku 2 by following these steps: -
- Advanced system settings
- Device connect
- Disable Device connect
Once you've done this, you should see the additional wireless network disappear.