As user2250152 stated, you need to "create" the role first before you can get the directory role.

This fixed it for me:

            DirectoryRole globalReaderRole;

            if (result.Value.Count == 0)
            {
                globalReaderRole = await graphServiceClient.DirectoryRoles.PostAsync(new DirectoryRole
                {
                    RoleTemplateId = tmplRole.Id 

                });
            }
            else
            {
                globalReaderRole = result.Value.FirstOrDefault();
            }