a) If a Boulder kills a figure with the Undying ability, does the figure get its roll? Or is it simply wiped out?

In non-RtL, damage is carried over and applied to Undying figures, which could lead to the conclusion that the "infinite damage" caused by the boulder would cause the figure to stay dead forever.

In RtL, leftover damage is not applied to Undying figures, which could lead to the conclusuion that the figure should be allowed its roll.

b) If it is allowed to roll and makes it but the space it was killed on is still occupied by the boulder, does the OL choose a free adjacent space and places the figure there?

Page 5 of the WoD rulebook:

"Any figure in a space that a boulder moves onto is instantly killed, regardless of wounds, armor, or special abilities such as Undying ."

To my reading of the rules, the Undying creature is dead and gone, no Undying roll is allowed for it.

Ah, I must have missed that part, thanks!