Compound Primary Key - Index both fields?
A query use the index in the column order (UserId first then RoleId).
Without an index on RoleId, it will scan the clustered index. 
Unless there is a where clause with a userId, the engine does not know how to get inside the index whitout scanning all the userId.

Because roleId is a FK, best practice suggest to have an index on it. You definetly need it if you (often) query it.

Index on UserId alone is useless. The clustered index already does it since UserId is the entry point. Using it does not require an extra lookup to the PK in order to get data or associated roleId. Just clustered index seek.