No problem in running wire into dry wall but not sure if it is safe running wire into the insulated wall.

Did you read the instructions? If you've got fiberglass batts, it should be no big thing to pull the wires. You will be compromising your vapor barrier if you cut into it with that hole saw. If you have loose fill, as indicated, you may be in for a bit of a mess. If you've got spray foam that completely fills the cavity, you're going to have a hard time.

Your local home center has a variety of devices that can plug into the receptacle provided and provide multiple receptacles for you. Find one that fits the space you need.

Frankly, the whole thing looks dubious under the NEC but if they have a UL listing for this have at it.

Because this is basically an extension cord, I would like to know what the current rating is before I added a second device, no matter how small.

Here is a link that might be useful: device referenced

Actually digging into the FAQ and other information, it's a piece of NM rated cable with reformed receptacles on the end and is listed. It looks like it should be good for the entire 15A. Since flatpanels don't draw anywhere near that these days, he should be good with the ROKU as well (which hardly draws anything, I've got one, it's got like a 50ma wall wart).

That should say "preformed" not "reformed."

This appears to be the latest version of an even more homeowner friendly" DIY in-wall power outlet. I like for two reasons but dislike for another.

First, this is so simple stupid to install that maybe, once for all, people will stop feeding the television set power cord down through the wall!

Second, it once again allows for point-of-use power surge protectors & EMI/RFI filters for wall mounted televisions - just plug the inlet extension cord into the protector/filter instead of the wall receptacle. It also allows for UPS units on DLP ceiling mounted projectors.

What I dislike, is the idea of trying to pull/fish a power plug through an insulated wall. Another company also has a similar kit that uses old-work boxes, NM cable, and hard wired male/female receptacles. I've installed a few of these and really liked them - you just fish the NM cable (as well as your low voltage cables) through the wall.

Either way, I think these products offer more options than a standard hard wired outlet.

Here is a link that might be useful: NM wired power outlet