Thank you for sharing the photos. On the second photo I see what appears to be a rose sawfly at the top of the photo, but it's not focused enough for me to be certain. Please take a look at the photo of a rose sawfly in this tipsheet, http://www.missouribotanicalgarden.org/gardens-gardening/your-garden/help-for-the-home-gardener/advi... to verify that they are the same.
If they are a match, management options are included in the article. If they aren't a match, please let me know.