Told you there would be trouble 
If you would still prefer to use Roon, then there is the option to send from Roon to a virtual soundcard via e.g. wasapi. Set the soundcard as default for playback in Windows controlPanel/playback. Then you can use the mentioned minihost or whatever vst host, then using e.g. asio4all driver to collect windows default as input, add your vst plugin, and send to whatever output. This is an easy setup that will be stable and rock solid and will solve your needs.
I sell virtual soundcards on soundpimp.com and you can find others as well. (Soundpimp is “headphones on speakers”). Send me an email if you want more info.
VST plugin feature would be absolutely super to have in Roon to get rid of all this trivial and non-optimal setups. The huge snag in the suggested setup is the disabling of the Roon zone system, which means you can actually use Tidal directly unless you need the meta feeds that Tidal/Roon provides for your local music.
Here is Minihost with asio4all and a hrtf plugin. Easy!
