"Why didn't Roland just respawn?" is a different way to ask "Do New-U stations exist with the canon of Borderlands?". I believe that they don't because the characters of the Borderlands universe don't act like they would.
Let's assume they don't exist
Under the assumption that New-U stations exist purely for gameplay reasons and not in the canon of the story, the death of Roland, as well as any other major character, makes perfect sense. They are mortals, and therefore can die.
Let's assume they exist
Under the assumption that New-U stations do exist and are usable by the vast majority of the population, the death of Roland becomes questionable. One supportive argument for this is the fact that a quest aptly named Kill Yourself is given to you by Handsome Jack. While some may argue that it was put in as a joke, it can be assumed that Handsome Jack may want to see you leap off a cliff, knowing that you will respawn anyways.
What speaks against this theory is the fact that several characters in the story of Borderlands die, and seemingly for no good reason. The New-U stations are not prohibitively expensive (deducting only 7% of your net worth), nor are they rare enough that only a select few have access to them. On the contrary, New-U stations are scattered all across the world for seemingly no good reason, other than to serve the gameplay.
In essence, if New-U stations existed in the canon of Borderlands, then every single quest to kill a specific NPC - be it Nine-Toes or Handsome Jack - would be essentially pointless, as they could respawn within seconds and keep doing what they always have done.
Evidence from the behavior of NPCs shows that death is considered a "big deal", and people who have been killed usually stay dead. If they don't, there's usually a reason other than the New-U station for that.
Due to Occam's Razor, I believe that the theory with the least assumptions is more likely to be the correct one. And as such, I postulate that Roland did not respawn, because New-U stations are not within the canon of Borderlands. He died because he was killed, just like so many other people within the Borderlands universe.