You have posted an interesting question. Guess many others will be interested to know like you too.
Before touching on the possibility of growing vegetables with roses, I have to tell you that most roses need a high level of "upkeeping", involving pest control, fungus control and fertilising. Therefore, if you wish to grow vegetables just besides your roses, please make sure you use organic ways in your upkeeping.
Complimentary plants like garlic, ginger, and persley etc. can be grown near to roses. These plants can deter some unwelcome pests from your roses. The herb like garlic can also enhence the fragrance of perfume nature roses, making them more intensively perfume.
Next thing, you would need to know is, roses need slightly acidic soil. So, do make some researches on the needs of the vegetables you wish to grow. To ensure that you will not be disappointed by your harvest later.
Hope it helps.