To be fair, it's one of the trivia points on the entry for The Wall in IMDB that Roger hired actual neo-nazis, so it's certainly a rumor that's getting about.

He recently got flack for the fascist sequence of The Wall ( The Show Must Go On; In the Flesh; Run Like Hell; Waiting for the Worms, Stop ) And wearing the usual militant trenchcoat costume during concerts. He went on a news show to plead his case and cried about the battle of Anzio.

It spooks me how much the communal recollection of history can change with time.