Roku Network Traffic Monitoring

I'm curious to see what information is coming in and out of my Roku TV.  I would like to set it up in a very security conscious network and I know questions are going to come up from my IT so I want to try and get ahead of them. 

I was hoping just to setup a simple proxy server and watch the packets fly by but it looks like tho Roku OS's network settings done have anywhere to enter a proxy

Has anyone heard anybody doing this research already?