If they've been outdoors for a while, and potted for a while, it would be different from if they've brought them in wholesale recently because in that case they might not yet have rooted properly in the pot. They could be basically bare-root roses from a more southerly area and not used to the cold. Did you already buy it and is it in a pot? If so you could just give it a couple of weeks or so in a sheltered spot before planting it.
Edit: Checked out the Minnesota Rose Society site and they say: "Dormant roses may be planted between April 10 and May 15.......Potted roses should show good growth and may be planted from May 15 throughout the growing season."
http://minnesotarosesociety.or...
