Well T-D, to your specific question, no the lights should not be on 24/7, the same as they would not get daylight 24/7. I would probably only leave them on for about 14 to 16 hours. Am I to assume that this is a grow light you are using? If not, then they are definitely not going to get enough light no matter how many hours they are on!
A couple of other things, when you put your cuttings into the pots, did you make sure there was a node (the knobby part where a leaf would come) well into the soil? Also, there should only be about 1/4" of the stem left below that to prevent rot. Did you use rooting hormone? This would ensure a more likely chance of your clipping taking.
I would also trim off any of the long spindly, leafless branches, as they are just using up energy that would be better used in developing the roots.
I hope this helps, and that you are successful with your roses! Good Luck.