In the normal course of events, the receiver will use the HDMI handshake to tell the source device that it does not support an advanced codec such as DD+ and the AVR will instruct the source to send a format it can handle. That answers your earlier question about conversion - which is handled by the source device, not the AVR. (The TrueHD encoding package includes a DD 5.1 track that is supposed to be sent when the receiving device can't process the higher resolution codec. I believe the same is true of DD+.)
So. what happens with audio when you connect your Roku2-XS to your receiver? Do you get any sound? If so, what format does the Roku output? I would assume you'll get stereo sound, at least, since you are hardly the only person with an older receiver that lacks decoders for the newer codecs.
Your call to VuDu seems to sum up the situation. Roku should handle older equipment the way nearly every other vendor handles it, where the box will output DD 5.1 when the HDMI handshake rejects DD+. But, apparently Roku doesn't work that way, which is a problem with a particular vendor. Upgrading your AVR would solve this, of course. Upgrading would also provide lossless audio with Blu-rays, which you can't get with your current AVR.