Is the only way to connect remotely via Roku is Reverse Proxy?

[TheDreadPirate]

Caddy is the easiest and safer way share your jellyfin server. You'd need to get a domain from whatever provider you want. DuckDNS provides free addresses, in addition to having a client that ensures your domain is updated if your public IP changes.

Caddy also automates getting certificates to allow use of https for remote connections. Which requires port forwarding port 443.

Then you create a jellyfin account for your parents and have them use your DuckDNS address to connect.

Jellyfin does support MKVs. If you can't add it to Jellyfin, double check that Jellyfin has permissions to read it.