Earthworms are always good for soil aeration and for improving soil nutrients. There is no evidence that earthworms cause problems for roses.
If you find something on your rose bushes that look like worms, they are probably not what we categorize as worms. Instead, these may be the larval stage of a moth or a caterpillar. These can cause problems for roses. Some particularly ugly larvae grow up to be sawflies, which can cause serious damage to rose leaves. Many types of caterpillars can also cause serious leaf damage.
For more information on different rose pests, follow this link: https://hgic.clemson.edu/factsheet/rose-insects-related-pests/