When insects like this are found on a rose bush it is a good sign. These are mummified aphids where a predatory wasp has laid an egg inside the aphid. The developing new wasp will form a cocoon inside where the developing wasp eats the aphid internally effectively killing it. This leaves a collection of empty aphid shell like bodies on the leaves and buds.
These are good insects to have in the rose garden as the female wasp can lay 800 to a 1000 eggs a day and in a short time will control your aphid infestation. They are winged insects so will fly all over the bush searching for live aphids. Often can be seen at dusk flying all over the rose bushes.
Care must be taken not to spray aphids with insecticide for this will kill the wasp also and lose the follow on generation. It takes around a week for the wasp to build up numbers great enough to control a mass of aphids so ‘soft’ options are recommended – and no insecticides.