Among default options, the answer is no. SAS gives you options to control certain aspects of the ROC curves in the roc and rocoptions options in the proc logistic statement, but it doesn't support adding specific features to plots directly within the procedure.
To get the features you're looking for, as you said, you'll need to plot the raw ROC data using a graphics procedure. I like sgplot, the ODS graphics successor to gplot. Assuming you know exactly which points you want to label ahead of time, horizontal and vertical lines for the sensitivity and 1 - specificity can be generated using the refline statement in sgplot.
An annotation dataset may be the best way to go to label specific points. If you're using sgplot, you can generate an SG annotation dataset using the SG annotation macros. More information regarding SG annotation, including the use of the macros, can be found here. The macros are located in the default SAS autocall macro library so they should be able to be referenced without any special fussing. Once you have your dataset, you can feed it into sgplot using the sganno= option in the proc sgplot statement.
