You can assign the keys via roles or via the user (same tab in SU01). UMR keys take preference over roles if found.
Whether they work depends on whether the application supports the personalization.
They are widely used for webdynpro applications already, as these are often intended for larger sets of users than what SAPGui screens are (such as FB01).
It is the proliferation of series of roles which are the problem, not the number of roles themselves.
Generally for ERP type systems you should be able to get away with about 50 roles max, if you leverage things like SU24 and personalizations. If you have 200 company codes or 5000 cost centers then you can still efficiently make adjustments without the temptation of creating lots of little roles and trying to put humpty dumpty together again via role assignments to the users.
Cheers,
Julius