You need to have a "Next Record" merge command somewhere at end of each student's fields, as per example below:

Use the Next Record rule to tell Word to proceed to the next record without starting a new page.

Create your template with as many lines as you would like to appear on the Roll, remembering that the last line should exclude the "Next Record" .

If your course has more clients than the template is set up with it will continue on to a new page. If you keep the "Next Record" on last line it will likely jump a client, and leave them off the roll.