You are correct that you can't reverse engineer a database in Roo. There's an open JIRA item for this which you can vote up.
However, you could try using the Eclipse Hibernate tools to reverse engineer your database, then modify those objects to make them Roo Entities. That probably would involve a lot of manual work though.
For AppFuse, there's the AppFuse Maven plugin which can create the entire AppFuse project for you from an existing database. I'm not sure if it's currently working though, because the last person I mentioned it to said they couldn't get it working.
Depending on your requirements, you may also want to give the Grails framework a try. There's a tool called GRAG that can reverse engineer a Grails application from a database.