Michael has been buying movies from iTunes, but he can't play them on the Roku streaming. Leo says unlike music from iTunes, movies and TV shows are still burdened with copy protection, and are only allowed to play on Apple devices. This is one of the reasons why Leo tends to stream movies from Netflix, rather than download them. Amazon is another option if he's a Prime member because movies and TV episodes are streamed freely.
Leo also says there's a great app called FanTV, which does a cross platform search so he isn't limited by platform. FanTV is coming up with its own streaming box too, if it can get deals with content providers. CanIStreamItis another good source to search for streaming shows.
Leo also says that content providers really have to make their content easier to find, obtain, and watch. It's that simple.