How can I retrieve all the roles (groups) a user is a member of?

WindowsPrincipal.IsInRole just checks if the user is a member of the group with that name; a Windows Group is a Role. You can get a list of the groups that a user is a member of from the WindowsIdentity.Groups property.

You can get WindowsIdentity from your WindowsPrincipal:

WindowsIdentity identity = WindowsPrincipal.Identity as WindowsIdentity;

or you can get it from a factory method on WindowsIdentity:

WindowsIdentity identity = WindowsIdentity.GetCurrent();

WindowsIdenity.Groups is a collection of IdentityReference which just gives you the SID of the group. If you need the group names you will need to translate the IdentityReference into an NTAccount and get the Value:

var groupNames = from id in identity.Groups
                 select id.Translate(typeof(NTAccount)).Value;