Why does d7_user_role need a db connection configured when migration group already defines it
The section of migrate_plus.migration.mysite_user.yml that reads this:

roles:
      plugin: migration_lookup
      migration: d7_user_role
      source: roles 

has to be edited by switching "d7_user_role" for the id of your user role migration, which in your case is "mysite_role"

roles:
      plugin: migration_lookup
      migration: mysite_role
      source: roles