Wait, are you saying I am supposed to get yet another device?
That's not gonna happen

I already have the TV, an amplifier, and a DA converter so I could connect the TV to the amp. It's already a mess of cables.
Yes, it pulls the "smart" out of your TV into a separate device. Roku would just have a short HDMI to your amp, and power (if you went wifi... I use a wired network connection on mine).
It's a pretty clean setup, and Rokus are tiny. And it's better than needing to backfeed audio from the TV back into the amp because of running a clunky app on the TV itself.
(My setup has a Roku, blu-ray player, mini-PC running Steam and for web browsing, Raspberry Pi running a Plex client, Nintendo Wii, Nintendo Switch, another Raspberry Pi running game emulators, Bluetooth receiver, and I used to have a satellite receiver box but I canceled that this year).
Either way, does Plex simply require specific application inside a TV or a supported standalone player?
Yes. You either use the web interface on a computer, the Win10 app, a Roku, the Android app, the iOS app, or the god-awful slow and clunky (and quickly outdated) built-in app on your TV.
Is there really no other alternative to play stuff from the NAS directly?
The NAS is just a file server. You can play the files on any client that has media-playing capabilities and the ability to access shares using out of the protocols that FreeNAS can offer it up. For example, you could use a media player like VLC running on a PC that accesses Samba shares (or NFS shares perhaps if you're a Linux user). Some people have set up dlna servers to then play to dlna clients... ages ago (pre-FreeNAS) I did this off a Linux box to then play media on the built-in dlna client abilities in my Oppo blu-ray player. It was finicky though which is part of the reason I migrated to Plex (and FreeNAS). Plex simplified things greatly, provided a slick interface with metadata, an easy way to browse the collection and find stuff and auto-origanize it, the ability to play on all sorts of clients besides the blu-ray player, and the ability to stream off-site.