In their minds, roasting your own pumpkin is close to killing your own chickens, curing your own corned beef, or canning your own applesauce. They think it's too much work, they invariably mention that you can buy these items in the store, carefully sanitized and wrapped in plastic.
I haven't killed my own chickens, yet. I've never made my own corned beef, but I have made my own applesauce. And I can tell you that homemade applesauce is hands-down better than anything I can buy in the store. And yes, I do roast my own pumpkins.