Unfortunately, Roon does not support FLAC + CUE files.
I wrote a bit to why we don’t support this (the conversation is about DSD ISO vs DSF, but the same applies to FLAC+CUE vs FLAC): DSD ISO Support
We used to do FLAC+CUE back with Sooloos v1 as well, but since then, we’ve built an audio engine that can render sample accurate gapless playback between tracks, even from different sources. The main reason for FLAC+CUE is because many players couldn’t do that. Same goes for DSD ISO vs DSF files.
Anyway, we will look into it, but it’s lower priority than many of our other priorities, as we feel this is a dated solution to a problem for players that haven’t truly solved gapless playback. If you only have FLAC+CUE, I feel your pain, as I too went through the slicing operation, a few years ago.
If you are open to it, there are many tools to get you out of the situation:
CUE Splitter for Windows and XLD on Mac OS X.