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If the holes in the leaves look more like clean half moon shaped cut outs, then it could be what is known as a cutter bee. They use the rose leave foliage to make their little nests. Since they are very beneficial to us, I would just leave things be and they will stop eventually. Plus, they usually will not harm the bush's health. However, if they are more round or oblong holes, it could be a caterpillar or some other not so good bug. I recommend spraying the rose bushes down with Ortho Bug B Gon Max in that case. Two sprayings may be needed to gain control. Don't spray during the heat of the day. Spray in the early morning or later in the day when the temps have cooled.

Roses need regular deep watering, even the Knockout's which are tough shrub types. What appears to be happening is the roses are getting stressed from the high temps and need more water. You may also be dealing with insect problems, since the plants become more susceptible to insect damage once their stressed. Hopefully this article can help:

https://www.gardeningknowhow.com/ornamental/flowers/roses/yellow-rose-leaves.htm

Yes, you do have to deadhead roses. All roses behave this way. By trimming the dead heads, you keep your plants healthier, and encourage further bloom. Roses need 1 side dressing of compost/fertilizer per month during the growing season, for steady bloom.

Yes. Just to be safe, put them in the garbage and not in a recycling container or compost pile. Pick up any dead leaves under the roses, as well.

Were these in a protected area when they were for sale? If they received very filtered light or were under cover, they are probably having trouble adjusting to full sun (I assume that is where they are planted). I think when it is this hot, it is hard to overwater them. Stick your finger down in the soil to test - it should be moist but not soggy.