If the rose has been growing in a greenhouse, it will need time to sit outside during the day before it is ready to handle nighttime temps and wind and cold. That is true even if you are buying them in May!
If, somehow, the nursery has been growing them in pots outdoors, then you might be ok. Keep an eye on the weather. If you expect any kind of freeze, you'll need to protect them. Your last frost date is around May 10, so before then you are kind of pushing your chances.
I got in a hurry and bought a number of lovely potted roses from a nursery 2 weeks ago. I planted them and they were beautiful. The next day, we had a freak 29 degree night (after many 70 degree days) and all the roses died waaaay back. I may even lose a few, even though temps since then have been moderate.
They would have been much better off had I left them in the pots and moved them in and out for a week or so.
