Most of the rye revival is still tied to the cocktails movement, which is if nothing else omnivorous, which means it doesn't generate a lot of volume. Right now rye is small but growing and profitable. A good way to fuck that up would be to overproduce, not withstanding White Dog's commitment to drink all they can make.
It wouldn't surprise me if Four Roses has some experiments in the works and has maybe laid down a batch or two of rye, on a test not commercial scale.
Although Four Roses should be very profitable, since such a high percentage of their output is sold as premium products, the distillery itself is still inhibited by its contractual obligations to Diageo. We have no way of knowing how much of their production that is, but it's clearly a meaningful percentage, and contract production is always low margin.
Also, much like Maker's Mark, when you can sell every drop you make, year in and year out, and are operating at or near capacity, as I assume Four Roses is, then you have very little incentive to try something else. Look at MM. When they finally did try something else it was a finish, not a new whiskey that would take distillery resources.
It certainly seems reasonable to suppose that the natural next step for Four Roses would be a straight rye. They've taken bourbon about as far as it can go.