Indeed, Roo is initially generating a standard Java project (in pom.xml):
It will only convert the project to a Web project when you start generating Web artifacts. I think this makes good sense but needs to be better documented.
As a workaround you should be able to simply change the packaging in the project pom.xml:
And then run 'perform eclipse' from Roo shell, or 'mvn eclipse:eclipse' from your normal shell. This should update the Eclipse/STS workspace artifacts and convert the project nature to a dynamic web project without the need to install any of the Roo web artifacts.