OOOOh Eric, you do make life difficult for yourself.
I think you have an RT and a mill, try the way on the C-o-C
I did all the rollers on my tube bender this way. Only takes minutes for each size.
If you want to do it on the lathe, you are correct, any angle from perpendicular will give an eliptical shaped groove. You would only need a very shallow angle on top, say 3 or 4 degrees at most. But expect a bit of noise, as it is plunge cutting, very similar to parting off.
Bring your drill rod up to cherry red and hold at that for about 30 seconds, then quick quench. You should then temper it to straw colour for long life, but use as is if you are only doing a couple of rollers.
If you want to see a basic toolholder for it, let me know and another C-o-C will be posted.
John