Yes, because the sampling theorem doesn't address filtering, per se. The sampling theorem basically defines sampling, and describes the results.
The sampling theorem describes what happens when we convert a continuous signal to discrete time using a fixed sample period. A result of the analysis is that data can only be preserved if the continuous signal has all frequency components below half the sample rate. (Note that the sampling theorem doesn't address "digital", only discrete time, but digital is our most convenient storage for discrete time signals.)
Note that it doesn't say anything about filtering, it just says the components need to be below half the sample rate. If you sample a 2 kHz sine wave at 20 kHz sample rate, no filter is needed. But as a practical matter, we build filters into our ADCs to ensure that an arbitrary signal complies. The primary objective is to ensure the limited bandwidth, but what kind of filter to use is an implementation detail.
So, we could model the results of the analog to digital conversion step by listening to a continuous signal through the equivalent filter used in the ADC.
Regarding the Roon question, we're concerned only with playback of a previously digitized signal:
A consequence of sampling is that the continuous signal has been modulated, resulting in frequency shifted images of the original signal—"sidebands" for someone used to AM radio (AM radio and sampling are closely related). So, it's an apparent requirement that we need to get rid of those images/sidebands to get back to continuous time.
And again, the requirement here is just "get rid of them". The portion of the spectrum of interest (the audio band) lies below half the sample rate. (Fun fact: How much below? Any amount at all...), so the requirement is to get rid of everything from half the sample rate upwards.
Similar to the ADC stage, we could model the results of a DAC by using the DAC's filter on the continuous signal...but for a fair test we'd have to recreate that first sideband by amplitude modulating with a sine at the sampling frequency before filtering.
Both the filter for the ADC and DAC have no specs dictated by theory. Obviously, we'd want a perfect lowpass filters in both cases, an instantaneous transition band and rejection to zero output in the stop band, with no effect on the signal in the pass band. Impossible, and would delay the output forever, but we don't need it to be perfect. The stop band rejection can just be low enough you can't hear it (the fact our hearing drops off up there definitely makes that part easy—we still need to do well so we aren't pumping ultrasonics into potential non-linearities...). The steepness only has to be enough to retain the audio band. If we call that 0-20 kHz, then we had a little space before half the sample rate at 44.1k, for instance, a little more at 48k, and at 96k we have lots of room and can decide whether we want to extend our audio band higher.
Lastly, and this is probably the aspect that most people are paranoid about, the choice of filter may have consequences near the top of the audio band. For isntance, it may have phase shift as it approaches 20 kHz. This is always true of minimum-phase filters. It's not a property of linear phase filters, put some people have concerns/paranoia about things like pre-ringing, and that's why some audiophile DAC makers give choices. (It's pretty telling that professional converters for the recording industry usually lack such features. The device makers generally just make decisions.)
Personally, I don't think pre-ringing is an issue but I'll leave that for another discussion. And as far as phase shift at the top of the audio band, that's a property of analog filter and people don't seem to have a problem with all the analog filtering that has occurred in analog mixing for the classics everyone loves. But then again, the filters are not so steep there, so pick your paranoia.