So this is interesting, as I was using essentially a similar configuration, Intel NUC (ROCK) server, to K22 (using either Squeeze or Roon player).
Let’s just say, I tried it each way (ie. Local server on K22, OR server on NUC) and once I moved to running Roon Server on my K22, I haven’t moved back…
I am sure there is a difference, but in all honesty it is not night or day.
However, one thing you should try, I recommend, is to try Audirvana or jPlay, as perhaps surprisingly, they do seem to sound better than Roon. There are numerous posts here that discuss how to configure these.