Virtually universally, videos are embedded in webpages, and occasionally a link is provided that downloads rather than plays a video.
So I think this is just a use-case issue: the average user is exceedingly unlikely to ever want to watch a raw video file specified by a URL, because you just don't come across them in the wild. So therefore Roku didn't build that feature.
And that's 100% justifiable for a consumer product. There's no philosophical reason why a consumer product should support computational primitives like URL's or files when the use case is rare or non-existent for the target market.
I mean, if this were a command-line utility then it would be a different story... but it's not.