How are you creating the roles - in the repository (via a project) or directly in the catalog (by clicking New Role under the Security->Roles folder in the Systems view)?
Repository created roles are owned by _SYS_REPO and therefore the creating user has no initial access to them.They must be granted to them by someone who has access to the GRANT_ACTIVATED_ROLE procedure (by calling the procedure directly or from the user management tool).
Catalog roles, on the other hand, are database objects owned by the user who creates them and therefore they are immediately granted to that user.