Welcome to the Auth0 Community and sorry for the late reply.
Unfortunately this feature has not been implemented yet and it was already addressed in this community post. A workaround has been there:
to list all organization members then query each members for their roles but with growing user base this will not scale as the number of API calls to get all member roles will grow exponentially with each new user
That is why I would highly encourage you to upvote this Product Feedback request in order to get more attention for a possible implementation.