It's likely "rose slugs" which are actually sawfly larvae. They would look like chubby green caterpillars but are not caterpillars at all. They are the larvae of a particular wasp. BT that kills caterpillars won't work on them, I can't remember what the preferred "green" control would be. I think locate and squash. They can be hard to see because they camoflage with the leaves.

Holes in buds could be rose weevils. Squish with hands or pliers.

Last year I had the same problem, and it was rose weevils. I killed as many as I could, but they really ruined the bloom on any of the plants that they were on. They seemed to prefer certain rose bushes more than others. I am still waiting for my first rose blooms to open this year, so I will see how it goes. I could not find any way to get rid of them other than hand picking them - and in my opinion didn't work well since I didn't get any decent blooms out of the roses they were on all summer.

The holes appeared like small prefectly round holes, with I think a darker edge, possibly from the rose bud wilting around the edge of the hole.

Just so you know, the best way to get the weevils is to get a pail with soapy water and hold it under the weevil, as soon as you get close to it it will try to drop to the ground, but instead you catch it in the water and it drowns. There was a link on her last year, since I was asking the same thing!

I didn't find any chubby green caterpillars. What do rose weevils look like? Would they be easy to see?

The rose isn't planted yet, so I picked up the pot and had a good look under the leaves but couldn't see anything. I also picked in the dirt a tiny bit, but didn't find anything.

The only thing I found was a stupid cankerworm. Would it eat my buds ?

I think insecticidal soap might work. It does kill most small and soft bodied insects. It's environmentally friendly too, because it is just pure soap. Spray in early morning or early evening because as you know the sun burns wet leaves

Forgot to mention, sawfly larvae usually eat large bites, like half a bud at once or several leaves. Weevils would make a smaller hole.

Safers Soap would probably be a good starting point like Oilpainter says. I have been spraying mine because for some reason several have spider mites this spring (which is weird because it hasn't been hot or dry).

Rose weevils are quite noticeable to the naked eye. Anyhoo just google rose weevils and you'll find plenty of pictures.

The soap thing redpeony suggested works well. Also, clear any mulch around the plants so that larvae are exposed.

Bud worm... do you see any black specks that look like pepper on leaves? Spray with Bt. Also look up bud worms on google.