A lot of this is outside of Hubitat's control. For example, iRobot doesn't have an API for Roomba that third parties can use to integrate, even if that third party (say, Hubitat) wants to. See, for example: Open API availability for a Wi-Fi connected Roomba. | iRobot Customer Care. Google/Nest has a mixed history but was in a similar situation for a while, though I think things have improved lately (I don't use any of these products so haven't been following it that closely). I'm not familiar with your Lennox thermostat, but I suspect the situation is similar.
This situation is common with many vendors, especially if their products are Wi-Fi. There's nothing inherently wrong with Wi-Fi for most of these purposes, but it just happens that most of them are designed to work only within the manufacturer's own ecosystem. This is where Zigbee and Z-Wave products really shine. These are open protocols where most devices will work with a variety of different hubs. While Hubitat also works with a variety of LAN and cloud products, I'd say it's primarily a Zigbee and Z-Wave hub--and it does that very well. But regardless of protocol, if you want the best out-of-box experience, you'll want to consult the compatible device list (the majority of which are Zigbee and Z-Wave). If you're wondering about something you can't find there, searching or asking in the Community forum (here) is a good step; that list isn't exhaustive for even the built-in driver compatibility, but there are even more community drivers (and apps) that can help integrate more devices.
But even if you can't directly integrate with Hubitat, there are often workarounds. For example, Hubitat has integrations with Alexa, Google Home, and IFTTT. If your otherwise-closed device does, too, you can use one of those services as an intermediary. For example, if Alexa can start Roomba via an IFTTT routine, you could create a virtual motion sensor on Hubitat (even better IMO: a virtual motion+switch device so it can be turned "on" easily in Hubitat; Alexa doesn't support plain switches being used as triggers for routines, otherwise you could forget about this awkwardness), expose that sensor to Alexa, then use it as part of a routine to start the Roomba whenever that routine is triggered. Not the best, but it may be the most you can do.
If support for a specific device is important to you, I'd say reaching out to the manufacturer to ask for Hubitat support would be your best bet. There's nothing Hubitat can do if there's no way to actually do it, so hoping that enough people ask and the manufacturer considers it important is about all we can do (besides the above workarounds).