Your roses are part of the same Family as the cherry trees, Rosaceae, so that being said, yes, it is normal/likely that they will dine on rose leaves as they seek out a protected area to pupate.
We have found their cocoons attached to the underside of cart handles, window ledges, eaves and under large leaves...any protected area that will keep them dry and safe. This link from University of Kentucky entomology dept has some good info for you.
https://entomology.ca.uky.edu/...
This link is for Lancaster County/Penn State Extension service. Looks like Timothy Abbey would be the best person in your area to ask for the most efficacious way to handle the problem.
http://extension.psu.edu/lanca...
I do hope they don't create too much damage to your roses.
