My first thoughts on this would be that the user cookie and the cached information are not updated to reflect the users SQL added role.
I'm not sure how to correct that without a custom module. You could write something that forced the cache to refresh and re-create the cookie (no idea if DNN has this ability or if clearing the cache settings would do it).

That, of course, assumes you've done the role correctly.

If everyone should have the role - Set the role to assign automatically. If only some people should have the role - Send them to a inbetween page that adds the role through the DNN framework then redirect them (totally on the server side) to the new page. You can have that role add module update cache as well.

That's all I got. Working through the DNN framework is a far better way to go than running SQL directly. Your SQL will not be upgraded with the framework, if something changes, but your calls to the framework will continue to work.