Answer: You are discovering that many gardeners use different methods and preferences yet still get good results -- and that all the hydrangea types are treated differently.
The paniculata types bloom on new wood grown each season, so you have some pruning options. To force a small plant, cut it back hard each spring. To encourage a larger and shapely shrub, do not cut it off short but instead prune selectively for shape. You would also want to remove any dead or damaged wood and possibly thin the plant out occasionally to keep the growth vigorous. You might also want to do it to control the overall size as these can get pretty large in time. Pruning would usually be done in spring.
Pruning the types that bloom on old wood is done mostly to remove any winter damage and then possibly for shaping. Occasionally removing some of the oldest branches by cutting them at the base can help to encourage vigorous new growth as well.
If your plant is in a very sheltered location and rarely has winter die back, you could trim the old flower heads off either immediately after they fade or in the late fall after freezing weather has stopped the growth completely. Alternatively, you might prefer to wait until spring to do any pruning at all in the hopes that the little bit of extra protection provided by that old bloom mass could possibly make a difference as to the amount of wood that survives the winter. Pruning could also be done to thin the plant if needed, although routine winter damage may accomplish this for you. For this reason, in a northern cold winter location I would do this type of pruning in spring also. (In a warmer winter situation where there is never winter damage you would do any needed pruning for thinning or shaping in the summer immediately after blooming.)
Pruning the macrophylla and serrata types is a bit of a gamble, and I tend to be more on the conservative side in my own garden and would wait until spring. People who think the old blooms look impossibly untidy will trim them off as soon as they fade, regardless although some people enjoy the sight of them in a snowy winter and will leave them intact for decorative purposes. Note that you are really on the edge of hardiness for the serrata types so this may all be a moot point. You might want to concentrate on the newer types that bloom on old and new wood both although in my experience repeated extreme winter damage weakens the plant so it never looks as good as it should.
Annabelle, the arborescens type, on the other hand, grows back from the ground each spring. Because of this, it can be trimmed off in late fall or even mowed off short before the growth begins each spring. It is very winter hardy at the roots so the protection issue is far less important and it is a reliable bloomer every year as a result.
The overall rule for pruning hydrangeas is that you need to take into account the blooming wood type and the growth habit as well as the microclimate in which the plant is growing and experience will show you the best approach for the plants you have. That's not really much of a rule, is it.
Good luck with your hydrangeas, you have a wonderful collection!
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