I don't know about that Ruby/Gem, but your app registration is not correct.
You need to configure your app for explicit OAuth2, per this other answer, except enter localhost instead of example.com.
Then, in your ruby code:
config.omniauth: stackexchange, 'CLIENT_ID', 'CLIENT SECRET', callback_url: 'http://localhost:3000/'
(Assuming the rest of that devise.rb code was correct. But see the OmniAuth StackExchange doc/GitHub about that.)