I'm from the US and if comedy roasts are a cultural phenomenon then I wasn't aware of it.

Yeah, I don't get them either. Best case scenario you can have a mild chuckle at the people you consider friends who know you the best exposing how they really see you after being given an invitation to do so and then living with that knowledge for the rest of your life. Worst case scenario all of the above, minus any lighthearted levity, but add in deep-seated insecurities causing you to become defensive and driving a wedge between you and your loved ones permanently.