I don't handle round bales with mine. But, from handling them in the past with other machines, I'd have to say I think it would handle one (900lb or so) but a larger frame tractor sure would do a better job. I just think these little machines get unstable and are not very efficient when working with large loads like this. Around here it is just too hilly that I would not enjoy carry a large bale out to the ring and lifting it up high enough to dump it over the fence without taking time to position myself just right. Most likely could do it, I'm just not sure have efficiently it can be done. Maybe if you didn't have too much to feed and could take your time.
But, I bet someone on the board here does work with round bales with a CUT and might can give you some actual experienced comments.
Deere does offer a bale spear for the loader, so apparently it is possible.
Chris