If you're going to wrap it up now anyway I'd say go ahead and pull those leaves. But is it really cold enough now where you are to start winter protecting? I won't do mine here until the first week of December at the earliest and I'm two zones colder than you. I don't do any winter protection until the roses have already gone completely dormant.

Yes, if you don't spray, stripping and bagging the leaves can slow the carryover of diseases and whitefly into spring. However, you don't want to provoke the plants into making new growth this time of year, so the timing depends on climate. I assume roses there keep some leaves over winter but don't grow. You might want to wait for -4 C, which will stop the new growth, but local growers would know better than I.