The best thing to do with the tree roses is to pot them up, and put them in an unheated, attached garage. That will protect them from the wind and the worst of the cold. Just remember to water them about once a month. Do nothing to the shrubs except clean out leaves that have blown into them. Knockouts are extremely prone to stem cankers over the winter, and should not be covered. If they can't handle your conditions that way, there are hardier roses to try. Though almost all tree roses are difficult because of the height of the second graft.

We leave all of our KOs uncovered during the winter and they do fine along a very windy/chilly river.