SNCB / NS machines
 

I have never done so, but I recall that there is an option to buy tickets from NL to BE at NS machines (at unstaffed stations).

Is this correct, and is the reverse also possible - buying tickets from BE to NL at SNCB machines?

Will all stations on nearby lines be available or is it only the main stations?

From the NS International website...
Destinations purchasable at ticket machines

Also you could use the NS Mobile App...

In the end I bought a Dutch ticket to Roosendaal (NL), and at the same time I bought another ticket from Roosendaal to Rotterdam for the next day.

There is an SNCB machine at Roosendaal, but unlike SNCB machines in Belgium it only takes card and not coins. You can also buy forward dated tickets.

My journey was cheaper by about 10 euros to split at Roosendaal compared with buying a through ticket from the both Belgian and Dutch machines, and if you have all your tickets in advance you don't need to leave the station, as you can check in with a OV-chipkaart (including disposable singles) on the platform. If you are taking a through train and not the SNCB stopping service between Roosendaal and Antwerp/Puurs, there is plenty of time to tap on the pole and reboard the train you arrived on. If you know what you are doing you could even exit the station, buy your next ticket and get back on the same train.

I was on a train last Sunday from BRU to Antwerpen where the conductor sold some people going to Amsterdam tickets with a break on the border at Roosendaal. Any idea why he would do that without specifically being asked?

I'm checking and, yes, you can buy two tickets on SNCB's/NS's site via a fare break at Roosendaal and save 10€. Same with going to Lille if you're using local trains by breaking the fare at Tournai or Mouscron.

That's interesting but I thought there is an additional "penalty" for buying tickets on Belgian trains after you have boarded...