Yes you should stop pruning by mid-August, only deadhead if the rose is still blooming. No you shouldn't cut it down before winter. The idea is for the rose to NOT put on any new growth between now and winter, because the new growth is tender and may get killed by the cold. Pruning/cutting back stimulates new growth.

Before you think about winter protection, you need to determine whether you need it or not. Specifically what kind of roses are you growing? Many roses don't need winter protection in zone 5. But if you are growing hybrid teas, you will need to protect.

Leaves are not the best, remember that whatever you put down, you want to keep the rose surrounded by dry and airy stuff. Moist/clumpy stuff like wet leaves can cause disease problems that can do more harm to your rose than the cold. I use pine needles on certain roses that need protection.

Protection doesn't go on until the ground starts to freeze, almost always after Thanksgiving and lately not until 1st/2nd week of Dec.