It's not that they must be protected from freezing. Even roses planted in
the ground will 'freeze' if the temperature is low enough for a long enough
time.

The primary goal of winter protection for roses is to slow the rate of
temperature change. The ground provides a large thermal mass or insulation
if you like, that takes a long time to change temperature. If there is no
heat source, all the insulation in the world won't prevent freezing.

All plants produce a natural anti-freeze, glycols, as part of their
matabilism, the actual freeze point of any plant tissue depends on these
glycols. The general rule of thumb for roses is the tissue will freeze at
approzimately 27F.

If a rose or most other plants, have a chance to become dormant with a
gradual temperature drop, they are much less susceptible to freeze damage.
There ARE ALWAYS exceptions.

To winter protect a 'tree rose', both the root graft and the trunk graft
need to be 'insulated'. One way to accomplish this is to literally bury the
plant, horizontally, in the ground and cover it with at least 6" of soil.

Just a little science and logic,

Tim