Question
Unfortunately, I just identified from your column and a couple of others that what has eaten the leaves on my 2 foot Sunny Knock Roses is either a type of Rose Slug Sawfly or a Rose Chafer.  The damage is pretty advanced; there is no green left on the leaves.  The question I now have is whether it is worth applying pesticides at this point as I am not sure if the roses will survive if there is nothing producing energy for the plant.

Answer
Rose Sawflies chew holes in the leaves so the damage looks rounded. Chafers bit and so the damage has sharp edges. Both will hide in the soil at the base of the roses. I would give the roses a spray to make sure they are really gone, especially all around the base of the rose bush. Don't be concerned about the lack of leaves, as roses are capable of producing three sets of leaves before it puts a strain on their vigour. The rose will start to leaf out in about a weeks time so keep an eye out in case you didn't kill all the insects.