I am going to break your question into two parts:
(1) Does Roku offer the feature in general?
(2) Does Roku offer the feature specifically for the PS Vue channel?
For question #1, the answer is *yes*. The Roku OS API has offered channel authors the ability to include this in their channel for a long time now. Roku refers to the screen were seek forward or back in the video player as "Trick Mode." There is then two types of trick mode a developer can choose from. First trick mode involves the channels service providing a BIF (Base Index Frame) formated file that the service provides to Roku OS to display thumbnails. The second trick mode is just a time based progress bar. Clearly the first type of trick mode is a better user experience but the second trick mode is much easier for a new channel developer/service to support.
But for question #1, in general Roku does offer the feature you are looking for and several other channels already take advantage of it.
So, that leads to question #2, is this feature offered by the Roku specifically for the PS Vue channel. I don't really know the answer to that. The thumbnails used by the Firestick or other Android based playback devices probably isn't based around Roku's BIF format. It might also be possible the PS Vue channel does have support for thumbnails but something is going wrong with the PS VUE service in generating the BIF thus forcing the player to fall back to progress bar mode. Regardless, ultimately this is something Sony PS Vue support is going to have to answer your question. They may be able to tell you if the Roku is supposed to work the same way or not. If they are aware of any problems and working to resolve them. Or if their developers have a pending feature request to add the functionality in the future.
There are several competitors to PS Vue that each provide Roku channels. Several of them all provide 5-7 day free trial periods. If you don't like the type of answers that Sony PS Vue support gives you and this feature is important to you on the Roku then you might want to consider switching. Based on my experience with Sony in the past, my personal belief is they put the most amount of effort in how their service works with a Sony device (console, bluray player, tv) and everything else is kind of secondary. But I am willing to admit that my perspective on Sony might be bias and not reflect how the PS Vue service actually is run.