Cool you've got a tussock caterpillar, I love those things. Awesome photography specimens. These are in N.C. (white marked tussock) yours are clearly not the same kind, but If you look up tussock caterpillars native to your region I'll bet you'll find out.
Jonrek, one good thing about roses is that they are pretty tough. You can pick off all the bad leaves, (bag them and throw out in the trash, or burn them) and your roses will leaf out again.
Treat them according to the advice you've received here and you should be on your way to healthier plants.
Yes I did. Thank you, my favorite part of spring is when the insects emerge and I get to spend hours searching, photographing, identifying, and researching them.