I've just hit the same problem, and you are right, it doesn't work. I tried on demo.moodle.net as well, same problem.
Steps to reproduce:
* As admin, use Users > Permissions > Define Roles to change the Student role so that it can be assigned at the system level.
* Use Users > Permissions > Assign system roles to add a user as a Student across the whole system.
* Go to any course that that user was not already enrolled on, and click Users > Enrolled users. The user is not listed as they should be.
* Log in as the user, and try to access a course which has an enrolment key, that they are not already enrolled on. You are asked for the enrolment key, whereas the system role should grant you direct access.
Are Monica and I doing something wrong or is this a bug?