Confusing plot is confusing. My guess on what Roxas meant when he said "Tell me why he picked you" is a reference to Riku, maybe even Xemnas.
Why Riku: One thing encountered during Days was waking up Sora. Riku was the main push of this. Fast-forward to when Riku confronted Roxas in the World That Never Was (this is the ending to Days). Here, Riku ordered Roxas to come with him. Why? To help wake up Sora. Fast-forward to the Kingdom Hearts II battle. Now, Roxas could be demanding why Riku chose Sora over himself. Pretty understandable from Roxas' point.
Why Xemnas: It's obvious the Organization was interested in a Keyblade weilder. Days stated this over and over again. When Roxas didn't meet par, they favored Xion and vice versa. Meanwhile, Sora was the most sought after prize. As Days progressed, the Organization grew tired of having both Roxas and Xion, and sought to have only one (think to the Halloween Town mission where Roxas was fighting a "Heartless" [actually Xion]). When Xion left the Organization, they had Roxas. When Roxas turned out to be a failure, they went back to wanting Sora. During the Kingdom Hearts II battle Roxas may be asking Sora why Xemnas favored Sora over himself.