Perhaps.
Y'all (collectively) have some good ideas.
But she likes the Roku. She's even got silicone skins for the remotes (plural; spares!), and two of them are tethered near the chairs that her and dad tend to sit in.
Also: The Roku stuff already exists, and is paid for, and it works with Plex (without a VPN, because my local Plex container didn't come with the caveat to avoid exposing it to the world).
Buying them one or more Apple TV devices to use instead seems expensive and likely to fail somehow.
Switching them to (cheap? linux?) PCs also sounds expensive and bad, particularly with my dad. He's certainly had more years to learn how to use a computer than I have, but he's spent most of the recent decades deliberately avoiding them. He hates them, and he doesn't want to learn them. He'd fall apart and give up on television entirely if I gave him a PC with a slick Logitech K400 to run it with. (He can drive a Roku with Youtube TV and Plex like a pro, but that's mostly only a D-pad and a back button.)
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But since you and others have mentioned it: Transcoding. That's really not a big problem for many vaguely-recent PCs. With Plex, at least: The quite old i7-6700k desktop box I use for this transcodes to h.264 like a beast using its paltry iGPU, and does h.265 just fine with an old nVidia RTX 2080 if I elect to use that instead. Either way works well and never breaks a sweat.
It may have been a powerful machine a decade ago, but a used computer with a 6700k (or so) to serve media with is cheap these days. (And a brand-new power-sipping N150 box does transcoding waaaay better, even in credit-card form factor.)