The main issue for me would be how to get the flue cleaned if it emerged through a glassed roof. If necessary, could the flue go out through a wall?

Mine is fairly ancient (make that seriously ancient) and it has a perforated jacket around the section of chimney in the room, which makes it safe to touch.

Depending on the model of heater and the way it burns its fuel/distributes its heat it may be already built to be adequately insulated for what you're wanting. You might need to look at a few more makes and models.