For a positive integer $k$, a $\{k\}$-Roman dominating function of a graph $G = (V,E)$ is a function $f\colon V \rightarrow \{0,1,\ldots,k\}$ satisfying $f (N(v)) \geq k$ for each vertex $v\in V$ with $f (v) = 0$. Every graph $G$ satisfies $γ_{\{Rk\}}(G) \leq kγ(G)$, where $γ_{\{Rk\}}(G)$ denotes the minimum weight of a $\{k\}$-Roman dominating function of $G$ and $γ(G)$ is the domination number of $G$. In this work we study graphs for which the equality is reached, called \emph{$\{k\}$-Roman graphs}. This extends the concept of $\{k\}$-Roman trees studied by Wang et al. in 2021 to general graphs. We prove that for every $k\geq 3$, the problem of recognizing $\{k\}$-Roman graphs is NP-hard, even when restricted to split graphs. We provide partial answers to the question of which split graphs are $\{2\}$-Roman: we characterize $\{2\}$-Roman split graphs that can be decomposed with respect to the split join operation into two smaller split graphs and classify the $\{k\}$-Roman property within two specific families of split graphs that are prime with respect to the split join operation: suns and their complements.