ASP.NET Roles do not propagate

I am trying to get roles working, so I began with a simple test. When my user is authenticated I assign some roles and the login.aspx redirects to the default.aspx. In the default.aspx page I display som "interesting" values.
On my development machine I get :

WindowsIdentity.GetCurrent().Name : YOUR-81911BFB9F\Wayne CurrentPrincipal.Identity.Name : Wayne Page.User.Identity.Name : Wayne WindowsIdentity : YOUR-81911BFB9F\Wayne AuthenticationType : LdapAuthentication Ident ...