It's a waxy, solid material coming from Rose. In general, floral waxes are created in the same process as floral absolutes. An absolute is a super concentrated version of an essential oil. Instead of distillation, a solvent extraction method is used: First, an organic solvent is added to the plant material. Second, this solution is filtered and concentrated and a waxy mass, called concrete is produced. Third, the concrete is treated in alcohol and the soluble fraction becomes the absolute while the insoluble parts give the floral wax.
So the Rose Wax is a solid emollient with some protecting and softening power. It does not contain too much of the fragrant compounds (read more at the essential oil) as most of them are in the absolute, but if your skin is very sensitive it still might be better to avoid it.