My problem was the theme iMedica (you can add that to your list of incompatible themes).
I added do_action( 'wp_nav_menu_item_custom_fields', $item_id, $item, $depth, $args );
to the start_el
function in class FW_Admin_Menu_Walker extends Walker_Nav_Menu
in file /wp-content/plugins/imedica-core/framework/extensions/megamenu/includes/class-fw-admin-menu-walker.php
and now I can see some, but not all of the nav-menu-roles options. I get this much:
Display Mode
Logged In Users Logged Out Users Everyone
but I don't get the checkboxes for the roles.
Is there some other reason why nav-menu-roles wouldn't be showing the roles to select? Or is this theme's plugin just too gnarly?
And yes I will be contacting the theme author, in the meantime, trying to make it work.