I thought I had the user roles highlighted but it turns out I did not. An easy fix and working as it should now.
I installed the Search Everything plugin, and enabled “search every custom field” on it and it’s finding sku’s now. Hopefully this will be integrated into WC in the future, but for now this plugin seems to do the trick.
The documentation incorrectly says to use “meta:_msrp” in your column header when importing the field. After hearing back from support, the correct field that should be used is “meta:_msrp_price”