Nothing is wrong. Pine doesn't yet know that the address you are using in your role is yours. You can manually change the headers that the role defines for you, and the signature it places on the bottom by typing them in, but you can do that even if you weren't using a role. I used to use procmail to filter my messages into various folders. As of 4.20, Pine supports some filtering.
Filters match patterns the same way as roles.
You can choose to apply the filter action in specific email folders or newsgroups, in any email folder, or in any newsgroup. Filter actions are either Move to a specific folder, or delete. See the previous question. That will do a rudimentary emulation of what you want. You can also assign scores and delete anything with a score in a certain range.