Again, this just illustrates the hack nature of this process. That the Plex service (or Roxsbox, which is essentially the same thing) can run directly on the NAS is irrelevant. It's still a collection of third-party tools that involve setting up remote agents off of the player unit (the Roku, in this case). I can stream on my Android tablet from a plain SMB NAS with no additional agent software or intermediary. Direct. I should be able to do the same thing with a Roku (or any of the other similar devices on the market).
Each one of them lacks a key feature. Either they can't stream from an SMB NAS, they don't have YouTube, they don't do Netflix, etc. There's always something. That each of these can be streamed from SOME device means that they're being deliberately left out of the ones that "can't".
I'm not asking for transcoding, either. If your device doesn't have enough power to transcode, that's fine. But I can copy a file from my SMB NAS to a thumbdrive and play it directly on my Roku. That is a bush league hack in 2013. It already has network access, there should be no reason to force me to use sneakernet.