Not true - there was an on-stage demo in MonoDevelop on OS X.
It's a compiler. It takes input and produces output. There shouldn't be much in there that has any platform dependency.
For any compiler, platform-dependence of the compiler itself is strictly tied to platform-dependence of outputs.
Edit: I confused roslyn with the recently announced AOT compiler.
What do you mean the output produced isn't platform-independent? This C# compiler produces assemblies that can be run on e.g. Mono runtime on Linux or on the .NET CLR runtime in Windows.
The C# compiler targets the CLR (Mono or .NET). It produces IL which is similar to Java bytecode. The runtime then JIT's it, but I don't know if that's OS-specific or not.