Answer: Based on your descriptions I am not positive what all is troubling your roses, but here are some likely possibilities. The little green bugs might be aphids. Aphids will also suck on new growth and buds and their damage causes sticky sap which in turn can turn black if it is covered with sooty mold. Aphids can actually be washed off with a strong spray from the hose or can be treated with insecticidal soap. Thrips are tiny insects that are very hard to see and they will cause buds to be deformed and will cause them to flop over. Midges can cause bids to shrivel and trun black, too. Insecticidal soap or a neem-based spray should help to control these, too. Be very careful to read and follow all of the label instructions including those for the reapplication schedule.
It is certainly a good idea to remove and destroy any diseased or dead or fallen material any time, but actual pruning practices will depend on the type of rose you have. For more detailed information about rose pests and general rose care including pruning, you might wish to look at a basic book about roses. One I particularly like for its straightforward approach is "Roses for Dummies" by Lance Walheim, ISBN 0-7645-5031-4.
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