A few points:
1. When you purchase a TV which includes streaming capability it's generally the case that it does not do it very well. The TV excels at the TV functionality - it's not built to provide a great streaming experience. Roku, on the other hand, has one purpose and that is to provide the best streaming device available. Their sole mission is performance and functionality of the streaming device. We have two DVD players which include streaming capability as well as our big screen TV and the Tivo Roamio - none of them comes close to providing the experience/performance which the Roku does.
2. If the streaming capability is built in to the TV and the TV dies, you also lose your streaming (which you've also likely paid extra for in the cost of the TV itself). If you have Roku or some other streaming device, you just hook it up to the replacement TV and you're in business - regardless of whether the TV includes the capability.
3. Roku is expandable/adaptable - it's an open system. Developers and content providers can create new Roku channels which can be added in or removed. TVs, DVDs, DVRs and other devices don't - you (generally) only get new content/channels when the manufacturer provides a firmware update which includes it (i.e. you don't get to decide).