where the Roles class store the roles that he creates, what is the type of role providers that support this class?
is it SqlRoleProvider?
here I think you will find the answer to your question.
read this section in the article:
Using SqlRoleProvider
If you want to store roles in SQL Server, you use the SqlRoleProvider. By default, roles are stored in a database named Aspnetdb in a SQL Express database instance in the \app_data folder beneath your application's virtual directory root folder. You can also configure the SqlRoleProvider to use a local or remote instance of SQL Server.