The reason why you are experiencing this issue is actually quite simple. In order to stream from a SlingPlayer on a mobile phone to a SlingPlayer for Roku, the phone and the Roku have to both be receiving their Internet connect via the same wifi network. Because you are using the phone as a hotspot, the phone is actually connected to your provider's 3G/4G network. Therefore, in this scenario the phone IS the wifi network, but not technically on one itself.
If you have further questions about streaming from mobile devices to Roku, check out the FAQ below:
Hope this helped!
Sling Media Forum Moderation Team