Asking at one of my favorite sites, bugguide, dug out the name. It's a nymph Scudderia furcata or Fork-tailed bush katydid. A bit of reading, and I found some katydids eat vegetation and some eat other katydids, so I was not sure--was this the eater of the rose, or the eater of the eater of the rose? A little more checking: My first thought was right. Fork-tailed bush katydids are vegetarians and sometimes cause problems in orange groves munching on the young oranges. So, the holes in the rose are, in fact, caused by the bug in question.
S/he is still out there, though, as far as I know. I have enough roses to spare, and it is a fascinating little jewel of a bug.
Also, I think that this picture, taken in October of last year, is probably the adult fork-tailed bush katydid.