How to reseal wiring coming through roof after adding an additional coax drop
before you go poking holes in that check what it looks like from the underside. there may be a solid barrier that you'll need to drill before you can feed the co-ax through.

I see the gray flexible conduit transitioning to a solid white conduit keep clear of the power wires, but being close to the thermostat/control  wire should not be a problem.

I'd go with a urethane caulk sealant, this stuff is really sticky, paintable weathwerproof, etc... And should be compatible with what you have there which appears to be some sort of urethane foam.  it costs a bit more than silicone caulk though.

squirt some in beside the co-ax and then work the co-ax up and down to spread it out, then add some more in a little cone aroun the top side of the co-ax 

Clean up with white spirit (AKA mineral turpentine, Stoddard solvent) so have some handy (and a few rags) because a mess is pretty much guaranteed.