I closed out my Treasury Direct account couple of years back. Website was clunky, logging in with digital keyboard was hassle for me. It locks out after couple of attempts, then dealing with customer service was nightmare for me. Converted Paper bonds to digital, it took forever to show up. I realized if something happen to me, my wife who is computer illiterate won't deal with all the issues. Also if i remember correctly, it won't mail out 1099's. May be things have improved recently, but I won't go back. Rather pay expense ratio with funds or ETF's.
One risk worth noting is that pnl on the futures leg is settled nightly, but you don't receive pnl on the stock leg until expiry. So if the stock rallies you'll either need to carry a margin loan or partially liquidate. During the roll there are often single prints that are much larger than the quoted size. Are these really CLOB trades that anyone can participate in or are they off-market block trades? Do any retail brokers besides IB offer access?