My role doesn't work when I am Cc'd a message. Not any more. In the past, that was necessary. It is no longer necessary to use that method because now Pine can match on a Recipient pattern. I have a role defined.
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.