They apparently don't, if there's a "use" clause before, like here:
use Foo;
#| Why for Baz
unit role Baz does foo;
method quux { "quux"}
Then
use Baz;
say Baz.WHY;
yields:
No documentation available for type 'Baz'.
Is this a bug, or am I doing something wrong here?
Update: reported as a bug here