Any general-purpose insecticides, organic or otherwise, may harm non-target insects, yes. Even though the two ingredients you mention tend to be low-toxicity compared with other options, they could harm cicadas if they come in contact with spray. (They often have a short residual, though, meaning that how long they remain hazardous to insects is comparatively brief.) What do you tend to use neem or azadirachtin for in the garden? There may be other pest-control approaches we can recommend that you can use to avoid harming cicadas (and other neutral/beneficial insects), but they are often pest-specific.

Miri

For Rose Midge, you could instead clip off any damaged buds and consider re-mulching in autumn in order to remove/bury the overwintering pupae that stay relatively shallow in the soil. They're an uncommon pest in MD, so if you're able to vigilantly remove affected buds before they progress too far, that will likely be enough to control their population: https://extension.umd.edu/resource/common-problems-roses

Miri