I can offer a kludge…
Assuming you have chosen to sort artists by last name first (in settings), then each artist has a Last-First Sort Name found in the 3 dot edit page for the artist.
This field is then used for sorting purposes only, not in displays. Thus you can set this to, for instance, “the69eyes” for “The 69 Eyes”. Roon will no longer ignore the “the”.
You will have to do this for each artist you are concerned about.
Not ideal perhaps, but best I can do.