Brentford duo Luke Norris and Stuart Dallas have both made positive impacts since moving to Sixfields and it was striker Norris who opened the scoring at Spotland after just two minutes.
Henderson equalised for high-flying Dale but Dallas netted his second Town goal before the break.
That looked to be the last of the scoring but Aidy Boothroyd's men were denied, initially by Rose's 88th minute goal. Then, having conceded two goals in quick succession in both of their previous games, Town were undone once again by Donnelly's strike.
A horrendous end to what had looked like a positive evening for the visitors. They remain in the relegation zone in League Two with further pressure placed on boss Boothroyd.
Source: Cobblers Mad