It didn’t work for me at first either, but then I saw that after setting the redirect method for the user role, you have to click on “Update Role” on the right side panel! (imho not intuitive at all as I was looking for Save settings at the bottom and not finding it assumed it was auto-saved or something).
So, the following worked for me:
In Ultimate member -> Settings -> User roles -> Subscriber (or another role you want to configure). Then in Login options “Action to be taken after login – Redirect to URL” and set it to the URL I specified.
THEN, click in the right sidepanel on top “Update Role” (big blue button).