I've done some research on this. The problem seems to be that the hdhomerun extend provides the video/audio in a .TS container, and the Roku only understands the .MKV container. So Plex needs to transcode for the Roku, even if the video and audio in the container are already fine for the Roku.
Can someone from Roku comment on if you are considering adding .TS container support? It would be a big help.
I have a Roku Ultra and a Roku 3.