Further to the above, things may be the other way about?
Roland midi file player (depending on model) may well default to GM2/GS patches. So maybe the file you're trying to play is NOT? Where was file created? If you created file on the Yamaha, then maybe it's using sounds defined by the Yamaha, and NOT GM/GS sounds (which may be available on the Yamaha, but NOT the default.
Do other midi files, say downloaded from the web, play OK on the Roland. Maybe they play OK on the Yamaha, but ONLY if you set the device to GM sounds?
Music totally messed up, or right music, but wrong instruments? If the latter, note that a midi file contains a lot of numbers, which may or may not mean the same thing to different machines. If the midi file is using patch numbers that are GM (general midi) but the Roland is defaulting to it's own instruments then play will not be correct.
Is your midi file using GM patches? Is the Yamaha set the same way (hence it played OK)? Is the Roland defaulting to something else, and if so, can it be set to use GM?
When you say they will not play on the Roland, what do you mean? Do you get no sound at all, or sound but some is OK and other bits not, or ALL the sound is totally wrong? Is the music/song still recognisable, just wrong instruments? Or what?
E.g. you'll see files with and without heavy use of synthesizer specific messages, as well as various assignments of instruments and channels. After checking a few files you should have an idea, what might be the cause - and what to do about it, e.g. with Sekaiju.