Having posted the above, I was concerned that unlike a veg plant, a rose shrub would be a significant loss if Twistedlarch had to uproot and dispose of it.
Yeah, me too. Aster yellows just fascinated me with that thread you linked, so I pursued it.
It sounds like the disease mentioned above was caused from heat stress if I understood it correctly.
Yep, from that quoted selection. And apparently that's the most common reason for phyllody in roses, but other environmental stresses can produce this too. It would not have to be weather related. An inadvertent whack with lawn furniture, a half hearted nibble from a squirrel, perhaps a close encounter of the third kind: anything that stressed the bud at a critical point could have produced phyllody.
If all else is normal with your rose, such as the leaves have a good color, and any other buds are normal, I'd leave it alone and just think it was a pretty cool thing to happen in my yard.