I was building a new server in the DMZ and got the following error when attempting to add the WSUS role.

WSUS Error

After doing a bit of research it turns out that WSUS is not included in the binaries for 2008 R2 and either needs to be downloaded from Microsoft or an existing WSUS server.

Since this server has no internet access I had to approve KB972493 on the existing WSUS server and then added the role successfully.