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As soon as we get a good prolonged frost it will drop its leaves and you should remove all of them, including any still on the bush. Either burn them or throw in the dustbin. You should really only prune in spring otherwise the new growth which pruning promotes can be damaged by the frost and lead to more diseases so I'd leave it well alone now until spring. RHS advice on pruning patio roses here:
Note the link at the bottom under "Problems" to dealing with rust.