I actually think Roger is rather humble. I also think he is honest -- he'll let you know if he played great, mediocre, or poor. Nothing wrong with that. But some people may take statements like "man I played great today" as arrogance and, granted, he says it frequently because he level of play is so high. But I prefer that to the behavior of someone like Roddick, who drops F-bombs regularly on the court.
As a more general point, all tennis players NEED to be arrogant on some level -- they have to believe in themselves entirely. In any individual sport, if you don't think you are "the greatest," you're toast. Tiger Woods isn't going to approach a potential tournament-winning put like this: "Ok, well, I'm pretty good... I mean I guess I could miss this, but whatever, I'll just do my best!" Rather, he's thinking: "I'm Tiger Woods. I own situations like this. I hope they are fitting me for the jacket right now." Sometimes this attitude spills over in interviews, which can sometimes be unfortunate. Going back to R-Fed, I think he handles his ego extremely well.