Safer soap will kill them, but you have to get it on them, meaning spray underside of every infested leaf. Use a tank sprayer, not a squirt bottle. Next best choice would be a house and garden aerosol containing pyrethrins, which break down in a day. These are in grocery stores.(Read fine print for ingredients.) Don't use anything persistent because you will kill beneficial insects. In my yard, wasps keep the rose slugs under control. No need to spray the plants that aren't infected.

As you have learned, the Bayer All-in-One doesn't work well at all. Also the insecticide in it can cause outbreaks of spider mites. If you need a fungicide, get the spray concentrate Bayer Disease Control for Roses, Flowers and Shrubs and apply it with a tank sprayer every two weeks during blackspot season. It is not widely distributed. Get it online, or maybe at Lowe's. There is only one ingredient, tebuconazole.

Allow 24 hours for the soap spray to kill.

I found spraying the bottom and top of leaves and canes with a Spinosad product worked good... Spot test leaves first to make sure they are not sensitive to the spray...
Follow directions...

My second choice would be safer soap which also works...

I have found nothing works effectively apart from spraying neonics. I use thiacloprid, there are others. You shouldn't worry about being judged, you are entitled to do what works and as long as you are careful, risk to wildlife is minimal. Spraying roses, out of bloom, especially fully doubles that the bees can't get pollen from is relatively safe. Bees have other things in my garden that are far higher on their list of priorities than a rose that they can't get at. The sawfly larvae do obviously have to eat a bit of rose to die but it will soon do the trick and break the life cycle.