Roses are more vulnerable to PM when their foliage isn't getting enough water from their roots, which often happens on young or transplanted roses. Keep the plant well watered though not drowning and as it settles in it may be more resistant, if it is not a cultivar prone to PM. Some are. You can spray off the foliage with water every morning, provided it is sunny/warm enough to dry in a few hours, to wash off spores. You could spray with a fungicide if you are really concerned.

PM spores float through the air for miles and miles, there isn't anything you can do about that except keep your plants as strong and healthy as possible, so their natural resistance can best protect them.

As hoov said the PM is just out there and only needs the right conditions to show up. Often times greenhouses have those conditions so it will show up there. Transplanting a rose can stress it and make it more susceptible too. You've planted it now in a good location so chances are it will clear up on it's own.