According to the movie's FAQ on IMDB.com, Neeson's reason was:
"for respect and the fact that he was proud to portray such a historical figure."
Also, the scene shows actual Holocaust survivors as well as the actors who played who some of them. I believe it is only the survivors, not the actors, who place stones on the grave. So perhaps it would not have been proper for Neeson to place stones on the grave, leading him to use roses instead.