I've seen them around for years in early spring but I've never noticed any damage that they cause. If indeed they are baby grasshoppers they apparently have to grow up before they can eat a rose bud. The mature ones sure can do some damage. We really haven't had a severe outbreak of Grasshoppers around here in many years. But that usually occurs in late summer/fall. Because Grasshoppers are like many of the pests we encounter that have wings, they move around alot, so there really isn't much a lone gardener can do to curb them (unless he has Moses on his side directing them elsewhere).

Wonderful news! Roses' purpose may be to teach us patience and humility.

Let me put in another bad word about all-in-one type pesticides (combined fungicide, insecticide, miticide, whatever) such as Orthenex. The acephate insecticide in Orthenex not only kills mite predators but it and several other insecticides are known to stimulate mite reproduction. To counteract this, several rose insecticides are routinely formulated with a miticide. Now, if the you then use such a product to control mites, you not only have to spray a more toxic mixture because of the insecticide, but you probably have to spray a more concentrated version of the miticide because its efficiency is decreased by the insecticide. I'm not saying that spraying any single pesticide is a good thing, I'm saying that spraying a combined pesticide is probably a worse thing.

As Embo said, the leaves are sunburned. Any plant that has been started indoors, even under lights, needs to be slowly introduced to the stronger rays of the sun outdoors. So start in dappled shade or a little morning sun and slowly give it a bit more sun every few days, a process called hardening off. Also, standard potting soil tends to hold too much moisture for many plants and will break down relatively quickly so aren’t great for long term growing. Your plant dropped leaves due to stress caused by a sudden change in its growing conditions and perhaps less than ideal potting medium adding a bit to the stress. As Dingo said, once acclimatized to outdoors, growing in the ground is easier than in pots, particularly in an area with cold winters like Michigan. If it will be remaining in a pot, go over to the container gardening forum and read about potting mixes for long term health. You will need a cool place that is more temperate than outdoors to store your rose for the coldest months as it likely won’t survive in a pot even if it will survive planted in the ground in your area. Pots freeze solidly in cold zones even though the ground doesn’t, and the small mass of the pot has a lot of temperature fluctuation as the seasons change, both of which are hard on plants. https://www.gardenweb.com/discussions/contain