Rovers were leading 16-6 at one stage inside the second-half, but Sam Burgess’ men rallied to take the reins at 20-16.
Two late KR tries from Arthur Mourgue and Tyrone May, however, ensured the vast majority of Craven Park went home happy.
It’s a case of two down, one to go for Hull KR coach Willie Peters as they chase the treble.
They added the League Leaders’ Shield to their Challenge Cup victory in their first meeting with Warrington since beating them at Wembley in June.
“We haven’t been shy in saying we want to go after trophies. We’ve got two out of two, so it’s one to go. There’s five other teams who’ll be going after that one as well,” Peters said.
“We’ll enjoy tonight, we won’t get carried away, but you’ve got to enjoy these times as they don’t come around too often.
“When things got a bit tough, we lent in to it. These people around here have never got anything easy, they have to work hard for it, and that’s the team we want to have, we want to replicate our community.
“It’s not always going to go our way, and it certainly won’t always in a couple of weeks time, but you find a way and we certainly did tonight.”
Warrington coach Sam Burgess was pleased to have a game that made the heart race after a difficult run-in, and his passion was clear to see in the coaches box.
He said: “We didn’t deserve to be on the losing side. I’m proud of the young lads. I know the team we have, I know who we are, we’ve just not been it for a little period.
“Our belief has never wavered. It maybe has for everyone else around us, but I’ve not and the players haven’t on the inside. We know we’ve got a lot of hard work to do, but as you saw tonight, we’re willing, and we’ll be OK.
Burgess wouldn’t be drawn on the early obstruction decision that saw Cai Taylor-Wray have a try ruled out that would have put them 12-0 to the good.
“I can’t tell you my honest thoughts about decisions as I’ll get fined!” he quipped.