It's only on his sword arm, though. In-game tips for Roy:
http://www.ssbwiki.com/List_of_tips_(SSB4-Wii_U)#Roy, and frame data have confirmed this. Haven't watched the video, but I'm assuming he didn't mention that which could lead to people thinking you can just Up Smash and never get hurt as Roy.
Curiously, Lucina and Marth's don't have arm invincibility which would have helped even though the main attack is with a sword. Corrin's entirely a disjoint, so she doesn't care not to mention the lower profile. Similarly, Greninja and Mewtwo, but seeing as how Mewtwo's works now with the run speed buff... that was a good thing it wasn't invincible even on the arm. Meanwhile, Sheik's Up Smash which is head and arm invincible and functions the same or similarly as Corrin, Greninja, Lucina, and Marth's.
Well, at least Zelda's Up Smash('s loop hits) is transcendent. Arm and head invincibility would have definitely helped, though. I'm starting to get the feeling that Smash 5 should make more Up Smashes and maybe some Utilt depending on them like no way Fox and Mario's Utilts should be or ZSS's for that matter whose Utilt is not only invincible, but recoilless in Smash 4 -- at least it has high recovery, but still --, but something like Mega Man's which is already invincible, should have some form of reasonable invincibility or armor for anti-airing. Would have definitely made Diddy, Sheik, and post-DLC and post-patch, Mewtwo Fairs less of a pain in the ***.