What indexes do I need to define for my bridging tables?
By default PRIMARY KEY is already a clustered indexed. It will also speed up queries executed against first column in an index, but not the other.

So if you index is defined on user_id, role_id (in that order), index will work also for user_id.

In your situation I'd go with default index of compound key, then, if needed, take a closer look at long running queries and benchmark if separate index on role_id is necessary.