It's not the only one allowed. There are alternatives, but I can't recommend one in particular. Plex is one alternative, but it's become much more than just a media player and I thought you didn't have to use their server, but I'm not sure.
Note that all media players use the same underlying video player, so it may be that if you have trouble with one you'll have trouble with all of them. That error message is about the most useless error message I've ever seen anywhere, but Roku has lots of useless error codes they never define.
I've said it before, but it's worth stating again: If your primary purpose for a streaming device is to play your own media, there are better alternatives than Roku devices. It's just not something they're interested in.
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