Personally, I like having a full fledged PC connected to my TV. Currently I’m using a Beelink T4 running Ubuntu. The PC is under my direct administrative control, so no surprises with ads or other things.
Power consumption may be slightly higher than an NVIDIA Shield or Roku, but at 24w at full tilt for the Beelink it cannot be that much more.
The same Beelink machine comes with Windows 10 as well, if you’d rather have Windows.