As a Plex user with Roku hardware, I'm forced to ditch PGS ... Roku isn't a Blu-ray player and will never encounter PGS in a "normal" setting. But you could say the same for Amazon Fire TV ...
Plex does take a little effort to set up ... First of all, make sure that screen mirroring is enabled via the System menu in the Roku's Settings menu. You then need to add a wireless display ...