"...Can American 965 go direct Rozo and the Rozo One Arrival?..."
As long as one respects the altitude for the procedure, how is that unwise or illegal?
In other jursidictions, especially the mountainous areas of Latin America such operations probably won't occur, but if they do pilots are best left to not accept them.
Given that we operate around lots of cumulus-granitus, it's been always promoted by flight schools and enforced by airlines that we should brief MEA's and MSA's when operating into airports in mountainous terrain. We also have in hand MVA charts and since we already briefed the MEA, if we ever get a vector with an altitude below the MEA we confirm the instruction is correct via the MVA.