You don’t. This is a very common question. Entities should only know about other entities and not about the entity manager or other high level services. It can be a bit of a challenge to make the transition to this way of developing but it’s usually worth it.
What you want to do is to load the role when you load the user. Typically you will end up with a UserProvider which does this sort of thing. Have you read through the sections on security? That should be your starting point:
http://symfony.com/doc/current/book/security.html