It's on Monterey Bay Aquarium Seafood Watch "avoid" list for the Northeastern US, and has been for a while. That designation means that orange roughy is overfished to the point of being endangered, or farmed or caught in some way that harms other marine life or the environment.
I imagine local chefs avoiding it for this reason accounts for the fact that I haven't seen it on a local menu in a few years. I can recall a time when Trader Joe's carried frozen orange roughy filets, too, but I haven't seen those lately, either.
re: MC Slim JB
I work in the business and I haven't seen any in at least 5 years. For awhile we were getting it fresh out of Iceland then New Zealand. It's a deep deep water fish and it's growth cycle is real long, hence why they became endangered real fast.
You can find some frozen, I'd personally question the quality of the frozen stuff.