Custom failed login error messages for users based on user role?

You can hook to the wp_login_errors filter.

add_filter('wp_login_errors', function($errors, $redirect_to){

    if(isset($errors->errors['incorrect_password']) &&
    in_array('custom_role', (array) get_user_by('login', $_POST['log'])->roles)){
      $errors->errors['incorrect_password'][0] = 'Custom message';
    }

  return $errors;
}, 10, 2);

EDIT:

This should work with WooCommerce login form or any other form that implements wp_signon:

add_filter('authenticate', function($user, $username, $password){

    if(is_wp_error($user) && 
    isset($user->errors['incorrect_password']) &&
    in_array('custom_role', (array) get_user_by('login', $username)->roles)){
        $user->errors['incorrect_password'][0] = 'Custom message';
    }
    return $user;

}, 21, 3);