If after using this card's <Digi-Burst> effect, one of my Digimon without <Digi-Burst> becomes a Digimon with <Digi-Burst>, does that Digimon gain <Security A. +1>?
Yes, this effect is applied as a Global Effect. If it satisfies the condition afterwards, it gains <Security A. +1>.
If after using this card's <Digi-Burst> effect, one of my Digimon with <Digi-Burst> becomes a Digimon without <Digi-Burst>, does that Digimon keep the <Security A. +1>?
No, this effect is applied as a Global Effect. So if it no longer satisfies the condition then it no longer has the <Security A. +1>.
If after using this card's <Digi-Burst> effect, this card leaves the battle area does the <Security A. +1> continue being applied?
Yes, as it has already resolved and applied a Global effect, the Global effect continues applying even after Rosemon leaves the battle area.