It could be related to the hardware transcoding bug. The streams play with direct stream on the Shield client, but are transcoded for the Roku.
You can see what is happening with the stream on the web dashboard (or the PlexDash app)…
Try turning off hardware encoding on the web config page and try again. If this fixes the issue, it’s a known problem and it is being worked on…
https://forums.plex.tv/t/shield-tv-dont-hw-transcode/
