Volunteer Report does not report on 'Role'
It looks like you've found a bug in CiviVolunteer, which I've been able to reproduce, but it's not with the report -- it's with the assignment.

If you assign the volunteer by dragging them from "Available Volunteers" to a volunteer opportunity, the role is erroneously not populated. You can see this by opening up the contact's record and inspecting the activity on the activity tab.

If you assign the volunteer using the magnifying class in the top right corner of the volunteer opportunity, the role is populated as when you use the API. You can validate this by opening up the contact's record and inspecting the activity on the activity tab.