How can I save multiple (checkboxes) values in a configuration entity?
Config (schema) defines two basic types of complex/array definitions.

Mapping:
When you have limited, known set of keys, each with a specific type, e.g. a few strings, integers, booleans and so on.

Sequence:
When you have a unlimited list of values that all have the same type but with unknown or numeric keys. Each element must have the same type. The top level in a config entity and simple config is always a mapping (the type there is a config_object or config_entity or so, but those all extend from mapping)

In your example, you would define the user roles as type sequence in config schema, and as a standard php array in your config entity class.

You can also combine this in any way you can imagine, you have a mapping, one key is a list, each element is a mapping, and so on.