What would require trusted certs in what I was thinking?
Transparent proxies will trigger your web browser's Man in the Middle warning whenever you visit an HTTPS site.
Also, would this WPAD have the Roku circumvent the firewall altogether?
WPAD is just a technique for devices to auto-locate your web proxy. That's all. It looks complicated, but it's really just a single DNS entry, a DHCP entry and a small file named wpad.dat with a proxy.pac symlink.
Also, would this WPAD have the Roku circumvent the firewall altogether?
No. WPAD is just a method of auto-detecting the proxy and nothing more.
Your wpad.dat|proxy.pac files need to be on any HTTP server you can use. I use my pfSense box but any old Apache on *nix will do.