I was able to get this working as I desired. The only sort-of compromise (not really) is that I have to put a Roon resampler in the Roon pipeline, meaning the pipeline is not bit perfect.
If anyone wants to run the HAF Room Shaper plugin on a Mac with Roon, this is the solution I came up with:
You will need to use your Mac as the Roon endpoint, directly connected to your DAC. If you have a separate Roon server, you can install Roon Bridge on this endpoint Mac.
Download the HAF Room Shaper plugin and install the AU component in ~/Library/Audio/Plug-Ins/Components/.
Install Audio Hijack from Rogue Amoeba.
Connect your DAC to the Mac.
If your DAC can support sample rates higher than 96 kHz and you want to use those higher rates, then open the Mac tool “Audio MIDI Setup”. Select your DAC from the list of devices, and using the gear menu at the bottom left, select “Use This Device For Sound Output”. Then, in the Format dropdown, select whatever sample rate you wish to use for your DAC.
Use Audio Hijack to set up a session with a pipeline Application → Room_Shaper plugin → Audio Output. For the Application, choose Roon or Roon Bridge, whichever you set up on your Mac. For Audio Output, select your DAC.
You can interact with the Room_Shaper plugin within Audio Hijack to upload your impulse response files, run the computations, and set the various parameters.
If you prefer to use a Roon resampler to the macOS resampler, you will need to create one in the Roon DSP (MUSE) setup. Have it resample everything to whatever sample rate you set for your DAC in Audio MIDI Setup. If you don’t, then macOS will do the resampling for you. The macOS resampler is supposedly very good, but it’s your choice.
Your Roon audio output should be “System Output” on your Mac. You cannot use CoreAudio Exclusive Mode (aka hog mode) or Audio Hijack cannot use it. This also means your Roon quality indicator will be green, not purple or even blue. I know some people are greatly bothered by this, so fair warning.
Start the Audio Hijack session, and begin playing from Roon. Audio Hijack will show the pipeline running, passing audio from Roon/Roon Bridge to the Room_Shaper AU component, to your DAC.
Hope this helps someone.