Hi,
I have not come across the scenario where the roles are downloaded and saved in CRM system. If you want you can create the Z Roles you had created for BP and use it during the replication. Or on the other hand you can add the roles in the BP roles category within the Define BP roles in SPRO settings.
Cross application components ==> SAP Business Partner ==> BP ==> Basic settings ==> BP Roles.
Regards,
Venkat