I tend to agree with the others. For me, it is very quick and easy now to switch roles with the current locations. Yes, occasionally, I go off and start doing something else and forget that I am in a student role but it is so quick to switch back that it does not bother me. I would be concerned that if it was only applied at the course level, that if you switched to another area of the site (messaging/profile) you would not really know what role you were in...
Also, your example only really applies to course level roles...what if you switch to a manager role for example...