When you are using a roux, the darker it is, the less it acts as a thickening agent in a sauce and, vice versa, if the roux is quite light, it has more of a thickening effect.
Why is this?
You can visualise it like this: starch is the way that plants store energy, you can see it like long chains of glucose molecules. If you have these long chains, they lock in water at high temps (gelatinisation), and so they bind sauces. If you burn them, what you do is break those chains into glucose (or maltose), and that glucose you caramelise..that is what makes it brown...and the proteins are in the Maillard reaction..that is "caramelising" of proteins instead of sugars, but that is less relevant for the binding power of starches. So, you are breaking and burning the chains that you need to catch water, basically. (and please do not correct this text from UK to US spelling, thanks...)
The primary thickening agent in flour is the starch. The browning of Your roux is a chemical reaction that uses up starch that can be used to thicken to make delicious ness.