That's just Roy being impatient, not him thinking he's smarter than the Deva. If they hadn't literally been in the process of Resurrecting him, he would have listened.
Considering what happened the first time Roy went to the Oracle (Xykon being located in his throne room, for those who don't remember), it's obvious why he did what he did was not out of any sense of intelligent superiority, but rather practicality. While Roy did outsmart himself, it was only because a previous experience told him he needed to outsmart the oracle to get any useful information.