Roxy is not supposed to be seen as This Loser Is You or not so different otherwise.
Let's start with the most obvious reason: pretty much everything she says is right. She outsmarts Frank when it comes to planning, and she has real potential at being a legit chessmaster, showing her manipulation skills pretty early on. She shows herself to be smart enough to concoct a story that fools her parents and the press despite getting her face photographed and aired on the news showing her to be free. Anyone who can concoct a story that somehow explains the theater incident has to be several levels smarter than everyone else. In addition to this, look at the hints at Frank's mental state and ulterior motives for getting rid of her. He strangles a man to death, the most personal kill in the film, and had just resisted watching her strip, as well as learned that one of the things that started this whole thing, and the thing that finally made him suicidal, was wrong. So, while he tells her that it's because she's like everyone else, it seems more that he doesn't trust himself around her. On top of this, the final scene she's in is a Big Damn Heroes moment. You know who you don't give those to? People the audience is supposed to be against. Let's look at the facts: she's smarter than Frank, and manages to trick the police in multiple locations as well as her family. Outsmarting trained detectives does mean that, nine times out of ten, you are smarter than everyone you know (especially if you're a 15 year old girl). Frank could easily be seen as being distrustful of himself and a bit paranoid, as well as acting extremely rashly. Her final actions are a Big Damn Heroes moment where she runs away once again to kill more people. And last, but not least, she was clearly not only audience avatar, but a co-author avatar with Frank. We aren't supposed to think she was in the wrong, we're supposed to think Frank was being rash and paranoid due to a bad mental state. This is backed up with him going back on his previous assertions that he would not give an opinion on how she looked. In the end, he does, showing that she, not he, was correct. Roxy isn't supposed to be a Villain Protagonist, but an Anti-Hero.- She manipulated a mentally broken man to kill people for reasons that barely warrant bodily harm, tops. She might be the biggest genius in the entire cast, but it's clear she uses that genius for pure evil.
