Get MSOL users and their AAD directory roles.

Get-AzureADUserDirectoryRole.ps1

function Get-AzureADUserDirectoryRole {
    param
    (
        [Parameter(ValueFromPipeline = $true)]
        [Microsoft.Online.Administration.User] $User
    )
    
    BEGIN {
        $_directoryRoles = Get-AzureADDirectoryRole
        $_directoryRoleMembers = $_directoryRoles | %{
            [PSCustomObject] @{
                DirectoryRoleName = $_.DisplayName
                DirectoryRoleMembers = Get-AzureADDirectoryRoleMember -ObjectId $_.ObjectId | %{
                    $_.UserPrincipalName
                }
            }
        } | ?{$_.DirectoryRoleMembers}
    }
    
    PROCESS {
        $_directoryRoleMembers `
            | ?{$_.DirectoryRoleMembers -contains $User.UserPrincipalName} `
            | %{
            return [PSCustomObject] @{
                UserPrincipalName = $User.UserPrincipalName
                DirectoryRoles = $_.DirectoryRoleName
            }
        }
    }
}

# USAGE

$timestamp = Get-Date -format "yyyyMMddHHmmss"

Get-MsolUser -All `
    | Get-AzureADUserDirectoryRole `
    | Export-Csv "aadroles_$($timestamp).csv" -NoTypeInformation