You can indeed grow roses in a greenhouse. The allure of year-round roses is hard to resist. Greenhouse growing is not as forgiving as outdoor growing because you are in charge of an artificial environment. Go out of town for a week, and disaster can strike.
Greenhouse growing is a separate hobby, with different gardening habits and behaviors.
I have successfully grown cuttings and got an early start on the season in a greenhouse. In the past, I have heated the first greenhouse for actively growing cuttings, and some early forcing. Light Winter months, depending on where you are, may not give you enough light for greenhouse growing. Here in the Pacific Northwest, much of the winter days are shrouded in cloud cover. The second concern is day-length.