In your area, you probably don't need to protect unless grafts are exposed.

I don't stop deadheading unless I want hips. It doesn't seem to make any difference.

I think the time for new mulch is spring. Otherwise you're wasting 5 months of its limited lifespan. It's probably good practice to move the old mulch into a non-rose location, but I doubt many people bother with this.

It is better not to mound plants until necessary, say 10 degrees forecast. Winter protection can cause canker damage.

I winter protect just the roses that are first year bushes or I know to be winter tender in my zone 6 area. St. Patrick and Color Magic come to mind immediately as winter tender roses. People told me I couldn't grow St. Patrick as I would lose it every winter but after 5 years I still have the same St. Patrick and it is thriving wonderfully even if I do say so myself!!
I simply use newspaper collars filled with cotton burr compost on them. When spring hits I just remove and trash the collars and spread the leftover mulch around the bush and around the garden bed in general.
Works well for me!!
Good luck,
John

Redsox,
It will take you five years or so to get to know your conditions and how they affect your roses. Start keeping a calender with highs and lows. There will be trends. Start noticing when the roses try to put out new growth (bud swell) and what happens to the buds when the next cold (how cold?) front comes through. Get a max/min thermometer and use it.
Learn about which mulches rot well in winter and if they cause canker in your garden or if they stay frozen.
This is a subject where local knowledge is a necessity. But when you see how the local knowledge plays out (here, I saw folks who protected with chicken wire cones filled with maple leaves and the modern HTs had serious and debilitating canker the following spring); others mounded with mulch- and had s&d canker as well. So...I don't protect against freeze damage. But my garden goes into winter slowly. You're closer to the Canadian Polar Fronts and may get hit harder.
If my first freeze (28F and above don't count) were going to be 5F, I'd be scraping mulch and dirt onto rose canes like crazy.

I'm a zone colder than you and have started only protecting the new-this-spring bands and any roses I know are marginal in my zone (Molineux). For the rest, they're on their own. I did get some great advice from a number of northern posters in a thread on the Antiques forum called Wintering Pots Without a Barn. I'm planning to try 2 different methods this winter to see which works better, but the ones I do cover I won't do until after Thanksgiving, when the ground is frozen. I use hardware cloth filled with cocoa shell mulch, which has usually stayed dry for me over the winter and is light and fast to apply. The downside is that it's terribly expensive.