Yes, setting up expressivity is not exactly plug and play because of a few conditions that need to be met beyond merely flipping the MPE switch on both devices.
On your Roli hardware, you need to map the cc’s supported by X8 to Roli’s physical expression dimensions. On the X8, you will need to fine-tune the sound to respond to those cc’s, eg by making it respond to after-touch or by closing the filter a little to let it be opened up later, etc.
You may also need to align the max pitch bend range to the smallest range that either device can achieve, so that MPE X responds properly - I can’t remember whether X8 has a limit here or whether it simply adheres to the 24 or 48 semitones standards.