It was all started during pre-season of the 2017-18 season by Ryan O'Reilly and has stuck around ever since.
They use them (not just bc they're fun, though they obviously are) largely because the Sabres' training facility where they practice (Harborcenter) is across the street from the arena and connected via a tunnel over Perry St on the second floor. Therefore, the team uses their main locker room and facilities in the arena and travels between the two places for practice. It's not that far since the buildings are connected but far enough that it takes a hot second to walk between the two especially in skates — hence the convenience of the roller guards which cut down the time and effort needed to travel between the two.
For anyone wondering about the escalators: per a video from a few years ago, they really just let them go on the escalators with their roller guards and miraculously no one has died yet ⬇️
what if we were teammates when we were kids and we were in world juniors together and you cried on my shoulder and we spend all our summers together and you spent your cup day with me and we were just in mexico together talking about how much we want to play together and now you're on my team and we were both boys........