Because Roose Bolton is not the Big Bad Guy – the White Walkers are – he’s a roadbump who’s standing in the way of the protagonists being able to confront the Big Bad Guy. And he needs to be taken out so that the Starks can reunite in Winterfell where the story began.
And I think Stannis would accept being at the Wall because he did something inexcusable for reasons that while good at the time turned out to be false.