I like to zone push to z2 and z3, it works great. I don't know about zone pushing the other way, with once blooming roses, probably not a good idea. It might work for a while but eventually you'll get a bad winter. If you get something that grows fast and blooms on new growth it will probably work quite well.

It depends...what OGRs did you have in mind? I have had good experience with Albas (Felicite Parmentier and Queen of Denmark) and some Gallicas. The Damask Leda tends to do very well, with little or no winter kill each year, but Ville de Bruxelles (also a Damask) is always a gamble. Comte de Chambord is a repeater that blooms on new wood, so even if the top gets killed it will come back and bloom in the summer and fall.
Siting also helps--a sheltered spot away from drying winds is good, and beware of frost pockets. But a lot of "winter" damage is done by spring freeze and thaw cycles, so a spot where the snow cover stays intact and doesn't melt away is good. The main winter protection I do is against rabbits, a plague around here. I just heap up some leaves around the bases of the plants when I'm raking in the fall.
Maybe try one or two OGRs at first and see how they do. Note: Plant a grafted plant with the bud union 3-4 inches below the soil surface. Grafted OGRs usually don't bloom till the second year. Own-root plants may bloom the first year, but you may only get one or two flowers the first year. Of course, both grafted and own-root mature to look spectacular. Go for it!