Zolotoy, your rose doesn't appear to have any diseased leaves, and probably won't get disease because the Knock Out roses are very disease resistant in most parts of the country.
Common diseases are black spot, mildew, and rust. Knock Outs were specifically bred for gardeners who insisted on plants that don't need chemicals to look good. They led the way for many more rose introductions that are even more disease resistant. So far, though, there isn't a rose that is "insect resistant".
Beneficial insects do a good job of keeping most bad insects in check, along with vigilance from the gardener in catching infestations early. My flowers have insects, but preying mantis, ladybugs, wasps, birds, and frogs do a good job keeping everything in balance. If I were to use any insecticide, I would kill off these beneficial insects along with the intended victim, and that could create bigger problems in the long run. I've never had a rose with as much damage as yours has, so I suspect your beneficial insects were missing, allowing sawfly to multiply unchecked.
Another way to keep disease and insect pressure down is to leave some space between plants so there is good air movement, and to plant something other than roses in the same area. I keep a good mulch layer under the roses if I don't have a low growing plant there. Some people keep the ground bare, though, so they can keep the area clear of fallen leaves and hiding insects. You have to experiment and see what works best in your garden. It's crazy. Some years a technique works, other years it doesn't.
