I also have WDs and Rokus; latest Roku is top-end Roku 2. Both are media streamers and media players, although each one focuses on one mode better than the other, and why I also have the various units.
WD recently came out with their answer to the Roku – a low-end player called the TV Play. Not many WD fans are impressed with this unit because it is and entry level product.
What the the WD “enthusiasts” are hoping for is a new high end WDTV that is gigabit throughout (with faster processor) accepts USB 3 drives, and is dual-band wireless. It would be nice if it could rival the Roku in the selection of streaming media,.Although the Roku has a lot to choose from, 90% of it is dreck, so enough of that is plenty from anyone.
You do not need PLEX to stream to the Roku. You ought to explore the new Twonky channel for Roku, and get the Twonky Beam app that works with Roku, WD, etc. I prefer using it with the WD vs the Roku. I wrote somewhat of a review of Twonky Beam app recently, and it is posted here:
