If my understanding of botany is correct, the purpose of pruning before transplanting is to reduce the number of leaves involved in transpiration, because disruption of the root mass allows for less water uptake. So by all means you should prune the plant, even if it's after you've transplanted it.
It is also important to deeply water a rose a few days before digging it up and transplanting it. That way it has plenty of moisture in its main canes to survive the disrupted intake of moisture while it settles into its new hole.
