The damage you see on the new, soft growth is caused by Sawfly. They use their abdomen like a wasp to penetrate the soft tissue of the rose and lay eggs into the stems. After a few weeks, the eggs hatch into a myriad of very tiny larvae/caterpillar's that become quickly and progressively larger with time and as they feed on the foilage of your rose bushes. They can quickly defoliate small rose bushes in no time if left unchecked. The pic you show is capable of hatching anywhere from 10-20 larvae. Possibly more.

Here is a google link that will show you pics of what the adult sawfly looks like and what the larvae look like once they hatch.

http://www.google.ca/search?q=rose+sawfly&hl=en&qscrl=1&nord=1&rlz=1T4 ADRA_enCA484CA484&site=webhp&prmd=imvns&tbm=isch&tbo=u&source=univ&sa= X&ei=aDsAUJXmAcWjrQGeg4iYBw&sqi=2&ved=0CFcQsAQ&biw=1280&bih=617

It is usually best to prune off and dispose of the growth where you see these tell-tale markings, but if you're adamant on wanting to keep these blooms, it is sometimes possible to run your fingernail into the soft growth and destroy the eggs underneath. The stem will ooze a sort of yellow puss as you do this. It is difficult to do this on HT's though as the stems are rarely robust enough to tolerate such treatment and just break instead. Indeed, sometimes this sawfly damage is enough by itself to destroy any buds further up on the stem. Sometimes you can save them though although they will bend over somewhat.

Unfortunately, insecticidal soap will only help you once the larvae hatch. It will not kill the eggs imbedded into the cane.