You know. In seasons 4 and 5-7, the Winx should or would be a bit protective over Roxy.
'Cause they had suffered so much shit and almost dying and the world almost destroying was an everyday thing basically, especially during Season 3. Having to fight against awful people(Trix, Darkkar, Valtor, Ancestral Witches) all while doing their studies at Alfea, and they all almost DIED(except for Aisha and Bloom because Aisha went blind and Bloom forced it out) or almost lost something precious to them like Aisha when Andros was attacked, just to get Enchantix all at 16-18 years old. They were BARELY adults.
So when they are required to get Roxy and protect her, I think they would be protective over her. They would realize if they don't, the Wizards would find her and capture and possibly kill her! They, especially Bloom, don't want Roxy to suffer the same shit they suffered when they were her age, they would want her to rather focus on her studies at Alfea and live her life normally as a teen fairy.
Roxy reminds them of themselves in the past, again, especially Bloom. They are her mentors who would help Roxy learn her magic and powers and all about Magix,and if something happens to her, they would forever blame themselves for it. Blame themselves for not being able to keep her safe and away from super dangerous stuff.
They might look calm on the outside whenever Roxy's in danger(like the time Wizards captured her and her dad), but on the inside, they might be panicking, slightly blaming themselves, and possibly silently threatening the Wizards death like when they were confronting fake Klaus/Duman their minds would've been like:
"Tell us where the fuck Roxy is or we'll decapitated all your fucking heads and burn the place down with you 3 in it."
In my opinion, they all see Roxy as their little sister. They don't want anything bad happening to her. They probably think they are at fault for the things Roxy went through in season 4 and want to make sure/silently promising themselves to never let Roxy go through something awful again and to make Roxy have the best time in Alfea and Magix, making sure she had the best time without having to worry about Magix getting destroyed constantly.
Tdlr: The Winx see Roxy as their little sister and are protective of her, which in my opinion is why Roxy wasn't with them during missions in seasons 5-7(8 doesn't count she went nonexistent).
Someone should make a fic based on this
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