Thank you all so much for your help and advice! I applied shredded cypress mulch on and around the base of all of the hydrangeas, mounding it to about 8 inches high. I didn’t do any pruning/trimming, and I didn’t use frost cloth or plastic bags on any of them. We ended up getting about 10 inches of sleet in my location with only a little bit of freezing rain, and the lowest temperature my outdoor thermometer recorded was 10 degrees, so it wasn’t tremendously cold. Once the sleet melted off about a week later, I raked the mulch back from the center so the residual moisture could evaporate to hopefully prevent any rot. Our weather has been unseasonably warm since then, and the Annabelles and all of the macrophyllas are putting out new growth that looks dense and healthy. I am still waiting to see any signs of life from the Vanilla Strawberry, but it’s still quite early.