They actually are different as far as I know. A 'roast' can be an event where there is a guest of honor at a party , and that guest is then 'roasted' (made fun of or ridiculed) by other people or comedians. The guest knows this and voluntarily participates, so it does NOT involve any humiliatian. (I know thats strange, but its a tradition). The comedian Don Rickles was always doing this, you might want to look him up. "burned" is something different, it means you feel you have been cheated in some way, taken advantage of, or unwillingly lost something important as a result of something.