Plants growing in shady areas or crowded together with poor air circulation along with overcast skies, higher than usual amounts of rain, and higher humidity levels (at the microclimate level as well) make powdery mildew a common problem and everyone knows, in our Northern Wisconsin summer, this year we have had plenty of both. It's sad and right away I want to know what to do?
Actually, it won't kill your plants in most cases. You can get rid of it with a solution of baking soda (gotta love that product - it has as many uses as duct tape or WD40)and water. Spray the affected plants and you should see it clear up. There are fungicides on the market that you can use as well. But, whenever possible I prefer organic. If you have excess milk, a more costly solution than baking soda, you can dilute that and spray it on affected plants as well. Roses: Placing Roses, Planting & Care, The Best Varieties
Now, when these leaves fall off, do not compost them but instead burn or otherwise dispose of them so as not to create a possible problem next season.