Slow sampling Mode (what you refer to as roll Mode) is where the waveform data being collected by the hardware is effectively sent to the computer as it is being collected, rather than waiting until all the data for the waveform has been collected and then transferring it the computer when collection is complete. However, processing of the waveform and then displaying the result on the screen, is only done once all of the data for the waveform is present for processing. This applies to all software processing such as enhanced resolution, maths channels, and the low pass filter for the 3405 (some of our higher range PicoScopes have a hardware fixed low pass filter that is applied to the waveform before it is transformed into digital data).
So, you are not doing anything wrong. There is no way to view processed data while actually collecting the data in PicoScope 6 (however, you can do this for slow sampling, when using our Software Development Kit to create your own applications).
If viewing the filtered waveform is more important to you then you need to be running in fast sampling mode rather than slow sampling mode. You will then see the result of the filtering displayed on the screen. To do this you need to set the point at which sampling changes over to slow sampling mode to a longer Time-Base setting. You can do that by going to 'Tools->Preferences', then in the Preferences window selecting the 'Sampling' tab, and finally setting the Time-Base/Collection Time value in the drop down list for 'Slow sampling Transition' to a period that is longer than the one you are currently using to view the filtered waveform.