Roswell and Quicklisp are two different things. Quicklisp takes care of downloading systems (what other languages tend to call packages) and makes them available to ASDF. Roswell and takes care of installing Common Lisp Implementations (think chruby + ruby-install). It also allows you to run lisp programs as scripts iirc.
FTW you don't need to install Roswell to try Lem, you can use cl-launch instead