Hi Tore, I think the thing is that the system logs you in as the anonymous user, and to read from the role-tables again, you have to log in with another user and then log that user out again so that the anonymous user role settings will be loaded. I've had the same problems, and its a little weird, but it works.
And I agree, the user-role gui...its not very intuitive, and not even documented I believe...*sigh*
