That's true, Cinta, and there's nothing you can do about that. I have to water my roses in the winter, and we get quite a few warm spells where the ground is totally thawed. Sometimes, it never freezes below ground at all.
Others will have to chime in, but I think soggy mulch would add to disease problems.
I'm not kidding you, though, I know of several nice rose gardens with HTs in the Topeka/Kansas City area, which is zone 5, and they do not go to any extreme measures to cover roses with anything in the winter. They just protect the roots and the bud union. They don't get much snow cover, either. When it does snow, it doesn't stick around long.
They don't have the winds I have down here, so I actually think their conditions are better than mine.
