Hi Crispin,
The Roles list you see when creating a Membership Definition filters out all built-in roles because they are all roles which have pretty important permissions assigned to them. So, you have create your roles first, then create your definitions.
I think the workflow here is kind of shoddy. There should be, in the least, a note here explaining what needs to happen to create additional roles. I'll look at making this better.
Thanks,
Joe