If the leaf is still green, even though it has holes in it, it is still capable of feeding the plant so you can leave those. If there's nothing left but a skeleton you can remove those since there isn't enough left to do any good really. Anything that has begun to yellow can be removed because it's no longer functioning. Clean up anything on the ground to keep things neat but it doesn't make much difference as far as preventing diseases. When you dead head you can prune a little deeper to take off some of the damaged areas. The plant should begin to regrow quickly at that time anyway.

What Seil said. Anything green continues feeding and shading the plant. A rose bush (like most other plants) is the perfect "commune". As long as any part contributes at least as much as it requires and benefits the entire organism, the plant retains it. Once any part requires more resources than it provides, the plant sheds it. Thinking of the entire this way should also make it easier when thinking of "blind growth", those shoots which form leaves but no flowers. Every leaf feeds the plant. If the plant forms leaves but no flowers, doesn't it stand to reason it's because the plant needs FOOD or shade, rather than attempts to reproduce? Kim