"when the sky falls" (and "when the heavens fall") mean when there is a very serious disaster in your life. It seems that the author uses "the roof" (which is a smaller covering than the sky) to mean something a little less than very serious but nevertheless unpleasant.We’ve got to live, no matter how many skies have fallen.
This was more or less Constance Chatterley’s position. The war had brought the roof down over her head. And she had realized that one must live and learn.