Planing a rose too deep won't cause any problems. Most roses are really not happy in a pot and a clay pot as it draws out the moisture so that the rose roots are dried out and that is the reason your rose is not happy. Containers should have potting soil in them as this soil has a mixture which tends to hold the water and so doesn't dry out. I would replant it in a potting soil mix and then water it well every second day . If you haven't fertilized it then give the rose a handfull of any rose fertilizer and scatter it all around the base and water it in.