нes that's correct, assuming you can configure
best electric the device to use the VPN. Encryption takes processing power, something has to encrypt that traffic. On your home network, the computer you have pfsense configured to use VPN on will do all of that work for your connected and configured devices.
If you take those devices off of your network, they then have to be individually configured to use VPN and they must encrypt their own traffic.
Your smart phone almost certainly has the processing power to do this, but you will notice an impact to battery life.
Roku, as far as I know cannot be configured to use a VPN on its own. Even if it could the CPU probably wouldn't be able to handle it.