Hi, 

The rose leaves have a chewing larvae called Roseslug sawfly which is a small green worm that will chew the leaves. Heavy populations can defoliate a plant but the plants usually recover and leaf out again by mid summer and still bloom. You can handpick off the small worms early in the season to reduce their population and predators will help as well. If they seem out of control you can use a contact insecticide like horticultural oil or insecticidal soap but you need to get the under side of the leaves. The link provided will give you further guidance for maintenance and control.

The lily petals look like slug or snail damage. You can use baits or traps to help with these garden pests. 

Let us know if you have further questions. 

Emily