I've found loads of guides online about monster infusion, but I don't really know what this message means. Every time I try to infuse one monster with another I get told that there are no role abilities to inherit. What does this mean? What am I missing?
All this message means is that no role abilities will be transfered. There are other reasons to infuse which make that warning relatively benign.
A monster of a specific role can only inherit role abilities for its own role. As a general rule, each monster can possibly pass on one role ability, but not all role abilities are infusable.
If your monster already has the role abilities that you are trying to infuse, there will be no role abilities that can be infused and you will be warned. If you are trying to infuse abilities from a different role, there will likewise be no role abilities to infuse and you will be warned. Abilities with red locks cannot be infused. If you are trying to infuse a role ability that cannot be infused, you will be warned.
Here's a solid list of role abilities, denoting which are infusable. These are the role abilities that are infusable:
COM Active: Ruin, Ruinga Auto: Adrenaline, Blindside, Bloodthirsty, Deathblow, Faultsiphon, Lifesiphon, Powerchain, Scourge RAV Active: Fire, Fira, Firaga, Blizzard, Blizzara, Blizzaga, Thunder, Thundara, Thundaga, Aero, Aerora, Aeroga Auto: Fearsiphon, Overwhelm SEN Active: Challenge, Provoke, Mediguard, Element Guard, Entrench, Vendetta Auto: Deathward, Fringeward MED Active: Cure, Cura, Curasa, Esuna, Esunada, Raise SAB Active: Deprotect, Deprotectga, Deshell, Deshellga, Poison, Poisonga, Imperil, Imperilga, Dispel, Dispelga, Curse, Cursega, Fog, Fogga, Pain, Painga, Wound, Woundga SYN Active: Bravery, Bravega, Faith, Faithga, Enfire, Enfrost, Enthunder, Enaero, Protect, Protectga, Shell, Shellga, Veil, Veilga, Vigilance, Vigilga
Even if no role abilities will be infused, this does not mean the infusion is useless. Passive abilities can still be infused, even when no role abilities will. Infusion can be used to soft lock some passive abilities, even when it looks like nothing is being infused at all. There are also hidden fusion abilities that can be granted from certain role combination infusions - If you infuse 99 levels worth of specific roles into specific other roles (COM<->RAV, SEN<->MED, SAB<->SYN), a hidden role auto-ability can be unlocked.
You can preview the results of your infusion before you infuse when selecting the second monster. If there really is nothing to infuse, then you probably shouldn't. You may need to use Monster Materials to level your monsters and learn them some new abilities in order to actually have something worth infusing.