I bought this:
https://www.amazon.com/gp/product/B004F9LVXC/ref=oh_aui_detailpage_o02_s00?ie=UTF8&psc=1
And then ran the 2nd HDMI output to any HDMI recorder. No HDCP issues (this off-brand model, uhhh, ignores HDCP....)
So, you can put this on the output of your Roku, then run one of the outputs of this device to a recorder like /u/greeneca88 recommended.