Hello, and welcome to the forum. The insect is a common stink bug. They secrete an awful smelling liquid when threatened (or squished), but have nothing to do with the leaf damage of your roses. He's just wandering through.
I suspect the leaf damage is fungal in nature, as it's affecting the leaves and their stems, but the younger canes look green and healthy. Apply a fungicide spray to prevent further spread and leaf drop. Most fungicides are preventive in nature (meaning they will help prevent the spread to healthy leaves), but they do not stop the infection in leaves and stems that are already infected. You'll need to spray every couple of weeks, depending on the product's label instructions.
