One good way to think of the Roku (I don't have one yet, but I can only make educated guesses from the Netflix IE plugin side) is that it is analagous to the Netflix plugin that you use in IE for the Watch Instantly features.
If it can't be done in IE with the Netflix plugin, it's not a feasible "feature" for the Roku. (i.e. closed captions, bonus features, different languages, subtitles, faster playback, slower playback, chapter selections...)
Think of Netflix as having web server that has a file folder with 10,000 .wmv files in it. When you click play, it starts downloading/playing that file. There isn't anything more you can do to that file like make it closed captioned, add chapter data, have different audio tracks, etc.
When they say that the Roku will be able to deliver HD content, that will be when Netflix adds a "less compressed" .wmv file to that big folder. It'll be at least double the size of the normal movie and thus you'll either need a pretty fast internet connection, or you'll buffer for a little while longer.