Most of those don't sound like likely pests. While there are leaf cutting bees that remove circular sections from foliage but don't usually warrant spraying. Honeybees and bumble bees do no damage at all. Spiders eat other insects and not roses. The green lady bug looking things may be cucumber beetles but usually don't do enough damage to warrant spraying. I'm not sure what the gnat like flying insects would be on a rose bush.
It may well be that if you are seeing damage the culprit is something other than the insects you are seeing around the roses. I suggest you contact your local Extension Office and see about bringing some pest or damage samples in for identification and if necessary for control recommendations.
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