The use of roles in a subprogram depends on whether it executes with definer's rights or invoker's rights. Within a definer's rights subprogram, all roles are disabled. Roles are not used for privilege checking, and you cannot set roles.
Within an invoker's rights subprogram, roles are enabled (unless the subprogram was called directly or indirectly by a definer's rights subprogram). Roles are used for privilege checking, and you can use native dynamic SQL to set roles for the session. However, you cannot use roles to grant privileges on template objects because roles apply at run time, not at compile time.