Why is this extremely simple form not getting an upcast entity from its route?
It seems entity routes (beginning entity.), like those in the user module, get the Drupal\Core\ParamConverter\EntityConverter converter automatically applied; other routes don't.

You should be able to apply it yourself easily enough:

my_job_board.user_register_form:
  path: '/my-job-board/register/{user_role}'
  defaults:
    _form: '\Drupal\my_job_board\Form\UserRegisterForm'
    _title: 'Register for My Job Board'
  requirements:
    _access_user_register: 'TRUE'
  options:
    parameters:
      user_role:
        type: entity:user_role


See Parameter upcasting in routes for more info.