@fukimo
Some of the issue you are having is due to HDCP (a copy-protection scheme) in HDMI devices and connections. These will be present in HDMI, DVI, and DisplayPort connections and not present in VGA which is why your simple adapter is working.
You will likely need a HDMI to DisplayPort (or HDMI to DVI) "converter", not merely an adapter. I would select DisplayPort as this should allow you to pass audio as well.
Some of these HDMI to DisplayPort converters come with a seperate/integrated USB cable that is used for power (connect to a cell phone charging adapter), which you may or may not need to use. (many of the different video converters need the extra power supply to work properly with the Roku device).
This one on Amazon states compatible with Roku and HDCP compliant in its description/specs. (this one is both an adapter and converter). https://www.amazon.com/Active-DisplayPort-Adapter-Converter-Gold-Plated/dp/B0752D33PJ/ref=sr_1_5?key...
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