"Wander" is when you are lost, you have no idea where you're going, unlike "roam".
Ex:
"The state is urging gamers to be more aware of their surroundings after two people wandered into a heiau while hunting for Pokémon Go". To me, the main idea is that these two people strayed.
In a recent article, the headline says "Thousands Set To Roam The Streets For Tomorrow Night's Pokémon Go Crawl" - Clearly, they deliberately travel the streets and its wide areas.