Speakers speakers speakers. The chances are that the signal from the Roland is pretty good, if not very good -- so that's not the problem (attested to by the decent sound from the headphones). However, reproducing piano with speakers has always been regarded as a real test of just how good the speakers (and power amplifiers) are.
There are a number of very good, full range speakers and speaker systems available (some are full range in one cabinet -- e.g. the old Cambridge Soundworks Towers, AR and KLH bookshelf systems (which take a big amplifier to drive) and, in my mind the very best of all, the Legacy series and there are also systems with subwoofers and mid/range high speakers in separate cabinets; they both have their points). While it isn't exactly true that you get what you pay for -- some makes, most notably a highly-advertised brand with a four letter name beginning with "Bos..." are wildly overpriced -- you are going to pay for decent speakers.
But it's worth it. You will also need a decent amplifier to drive them; I'm not sure what your Roland has for a power amplifier. Some speakers are self-powered; there's something to be said for that approach.