It can be tedious if you have borers and a lot of rose canes to seal, but I try to finish my pruning with this chore. If I don't I will see cane borers by June. If a cane borer makes its way all the way down into the bud union, I've been told it can kill the rose bush.
Wood glue, Elmer's glue, nail polish have all equally worked well for me. Back in the day, I've heard it was common for housewives to complete rose pruning by sealing the canes with lipstick!
Sealing often is no longer done since it's labor intensive and doesn't prevent a new rose developing later on the cane. Then the recommendation is to prune below the invading borer at pruning time.
