Looks like the Large Rose Sawfly, Arge pagana, though there are very similar species. Given the host plant it is likely to be this species and doing 'just what it says on the tin' - females make a series of parallel cuts in new shoots, laying eggs in each cut. This provide protection until these larvae hatch, the larvae then feed on the leaves of the rose. You can see the series of cuts she has made in a trail behind her. I don’t find them too destructive and the birds get most of them - keep an eye out for the larvae feeding in a week or so.