HDCP is at the option of the signal source. If Roku wanted they could disable HDCP.
Except then content providers like Netflix, Hulu+ and others would make sure their content could not be shown via a Roku box and that would mean the market for the box would not exist. Of course Netflix and others only require copy protection because the studios and other content owners require it.
I guess Roku could have the HDCP enable/disable set by the channel code. So channels that dish up only public domain content could have HDCP disabled. But why bother? Typically HDCP "just works" so having it on all the time shouldn't be an issue.
On Roku2 video streams are rendered by hardware that is set to require HDCP and will output a purple screen if HDCP has failed. Menus are generated via a different frame buffer mechanism that does not require HDCP. The output from these two hardware sections are combined for output. So your menus are visible regardless of the success or failure of HDCP but video streams will only be seen if HDCP is successful.