While we can't see the exact symptoms you're describing clearly enough, we suspect the cause is a type of Roseslug Sawfly, as they are a very common insect pest of roses that can cause early-season damage. Despite the drastic nature of their feeding damage, they typically do not cause the plants serious long-term health impacts, and by the time the foliage is too greatly affected, the insects have stopped feeding and left the plant to mature, so sprays will not provide any benefit. You can learn more about sawflies in the page linked above, in case catching them earlier next time allows you to intervene with insecticide (if needed). If helpful, more rose diagnostic information can also be found on our Rose: Identify and Manage Problems page.

Miri