Is riding Roach actually faster than running?

Yes, Roach is much faster, generally speaking. There are a few advantages to running, mainly that you can go through water, while Roach may or may not be able to.

However, Roach doesn't take fall damage, so you can jump from cliffs while on Roach and not die. Another advantage to using Roach is that you can auto-run along paths and not worry about straying.

Roach is faster especially when galloping. Buy, win or find better saddles to increase Roach's stamina so she can gallop longer.

If you have the 'Blood and Wine' DLC you can also get a boost to Roach's stamina by upgrading the stables at Corvo Bianco.

When on foot you can use the Werewolf decoction to be able to run indefinitely.