Roses usually drop their leaves for the winter though I believe Pilgrim is semi evergreen. If the marks on the leaves are brownish it will most likely be damage by cold windy weather. They should drop off themselves in due course..

If they have black spots remove them an any that have fallen and spray with RoseClear when the new ones start to grow and again at intervals through the season.And pick up any fallen ones you see.
Otherwise can you post a photo?

Hi, I have the "Pilgrim" , only bought last year. I had read on David Austen website that they recommend in December taking off all old leaves. This is to reduce chances of 're infection of any Black Spot and things the next year and also while the plant is young, saves it having to feed old leaves instead of putting all it's energy into new growth. After reading this question I phoned them to see if this advice included the "Pilgrim" and could this still be done now and they said yes. On their website, there is an phone number to call for advice on their roses.