Hello Khem Raj Bhatta,
I have a series of questions:
What version of wazuh are you using?
Did you login with administrator user?
To create the roles, you must enter from the left panel in the "OpenSearch Plugins" section to the "Security -> Roles" menu
Then click the "Create role" button, which is on the right.
I leave you a couple of screenshot to guide you:
First step: Go to security menu, view Security-Menu.png image.
Second: go to menu Roles and click boton Create role, view Menu-Roles.png image.
Final: Configure new role, view Menu-create-rol.png image.
Thanks