If you actually have climbing roses (as opposed to rambling roses, which are pruned in September) then you will need to prune them in spring. Roses usually lose their leaves in winter, and some stem or tip dieback almost always occurs during winter, which is why you leave the main prune till spring. Where you are, not all roses will do very well because its cold, but when you describe stems dying back, I'm not sure whether you mean all stems died back to ground level, or just some of them. Without knowing which variety were planted there originally, it might just be they weren't particularly suitable for the climate where you are, or just weren't very healthy. There are some climbing roses of varying sizes recommended here
https://www.thespruce.com/top-climbing-roses-to-plant-now-4045460, many of which are perfectly hardy where you live, and do not require protection.
I see from your comment you're wondering how a rose can get large if you have to prune; first, it depends on the height and spread of the particular rose you have chosen, so its critical to choose the right sort of rose for the right place. Some climbers get very large indeed and will cover a two storey house wall, others may only reach 6 feet in height, there is a huge variation in growth habit even just for climbing roses. But either way, it is necessary to prune in spring, first by removing any dead growth, then any very weak stems, followed by stems that are crossing and maybe rubbing against each other, always aiming to keep the plant open so that airflow is possible around all the stems and leaves to try to deter fungal problems. They should be tied in to a support too, training them to grow in the manner you desire. If you do not prune and train, over time you will end up with a sort of tangled thicket of dead wood with random growth going wherever it wants higher up. It's also important to check for sucker growth ongoing - these can arise without your noticing, and if they grow unnoticed, may actually take over the whole plant and the grafted rose dies. General information on growing climbing roses, including pruning advice, here https://www.starkbros.com/growing-guide/article/all-about-climbing-roses. And I endorse the advice you've been given that it is not wise to try to fleece or cover any rose in order to provide winter protection - their tendency to succumb to fungal infections makes that non viable.
As for wanting to create a privacy screen with roses, there are better plants to choose for privacy reasons - of necessity, there will always be gaps in between rose stems, so any privacy they may confer will be incomplete.