I feel your misery as my roses are also suffering from this insect damage. The culprit is a tiny, green worm that is hiding on the underside of the leaves. By the time you see the holes the worm has moved on to new foliage. You can pluck the leaves at the first sign of damage but spraying with an insecticide containing Bt (bacillus thunbergia) will control the young worms if you make sure to spray the underside of the leaves. The good news is this insect rarely kills the rose plant, just makes it ugly. Good fall cleanup such as removing every single leaf after the first frost will help to control overwintering egg sacs. Thank you for following me on PlantersPlace and social media. Keep growing, Marianne Binetti