Many ranchers around here do not unroll. They have feed stands. The bale is put in the stand - still round. Keeps the hay up off the ground.
That is EXACTLY what I did when my wife raised Percheron draft horses. I copied the Klene Pipe Structures bale feeder and added a roof as well. The issue with unrolling a bale is, what they don't eat, they either poop or pee on. We cut our feed (round bales) in half and no hay on the ground either. Nothing worse to deal with than wet, moldy peed or pooped on hay, plus it kills everything underneath.
I would swing the gate open, hook up the swinging side bars (which I spaced so the horses could get a mouthfull and no more at a time), put the bale in, eye to the sky, cut the net and took it off and even with 4 mares it lasted a week. I actually built 2 of them and when my wife quit the horsey business, I put them on CL and sold them both in 2 days. I mounted them both on .40 retention pressure treated 6x10 runners so I could move them around if necessary. Best thing I ever did for feeding hay, like I said, I cut the bale count in half. I was growing my own hay (just like I do now) but the horses were eating my profit (I sell it as well) and I cut that 'loss' in half.
You could build them from wood, problem is, horses like to munch on wood, so I built mine from heavy angle iron and welded everything up.
Like I said, Klene sells them (if they are still in business, I have no idea), but they are easy to build if you can weld and have a metal cutting bandsaw.