Answer: Your hydrangeas form flower buds on last year's wood. So do not prune them in the early spring or summer. Many live branches look a bit dead for a while in the spring. Later, when you are sure a stem or branch is truly dead and the rest of the plant has leafed out, you could remove it.
If you are seeing a lot of winter kill, then it may be that they are in too cold a location. Protection from wind may help if that is the case. Keep in mind too that an established plant will be more able to handle cold than a newly planted one.
To prune, wait until right after they have bloomed and trim -- if they need any pruning. It's best to make sure they are planted where they have enough room to grow.
Finally, when fertilizing, follow the label instructions. Too much fertilizer is not any better than too little and may cause overly lush foliage growth at the expense of flowers. Established plants will normally outperform more recently planted ones. It sounds like your plants are growing well and should bloom for you next summer.
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