Samuel:

Although I don't know the particulars of the situation like the exact plant and what its new growing conditions will be etc., I can tell you this. I bought three roses from Rite Aid this year and they all had PM. I sprayed them with a baking soda/dish soap mix, removed a few leaves and just brushed the occasional spot off with my thumb when I noticed it. I found that once the plants were someplace they could get good sun and breathe the problem cured itself very shortly.

And that was a lot more pleasant than spraying the plant with anything. Hope this helps.

Kate

I wouldn't remove the leaves.
The plant needs the leaves.

This is a new plant, struggling to grow roots after what was probably a rocky start.
Keep it well-watered.
If temperatures are under 80 deg., a dilute horticultural oil spray might be helpful.
Otherwise, unless it is simply a disease-prone variety, there is a good chance that
it will clear up on its own, once it has some roots established.

Jeri

Another option is to spray the plant with a solution of milk, or, if the problem continues, to alternate baking soda/dish soap and milk sprays.

In my experience, organic milk gets rid of molds faster than pasteurized milk.

Hope this helps.

I would remove the leaves if they pull off the cane easeily because when they are that unhealthy they aren't doing much good and you will do well to start over, the earlier the better.

Yes, remove all affected leaves into a ziplok bag, and spray what remains. Failing this, it will spread, and I know you don't want that, right?