Answer: Let's see if we can clarify things for you. Your Limelight hydrangea is Hydrangea Paniculata. Because Paniculata Hydrangeas bloom on new growth (unlike the lacecap and mophead Hydrangeas which bloom from buds produced the previous year) they typically flower normally even if the twigs have been killed back by frost. This plant, because it produces flowers on new growth, can be pruned in late winter (after it has become dormant) or early spring (just as new growth begins). It is hardy to Zone 3 so should not need additional protection. If you'd feel better about providing additional protection, simply fashion a cylinder out of chicken wire to go around the plant, then dump leaves into the cylinder. The leaves will insulate the plant. You didn't say how long you've had your Limelight. If it is fairly new, the thinner branches should catch up to the size of the larger branches as it matures. I wouldn't remove them unless they are damaged. When the plant is in place for 2-3 years the root system will be substantial enough for the entire plant to regenerate from the crown, even if you cut it down to ground level in the wintertime.
Your Endless Summer is Hydrangea Macrophylla. This plant is hardy to zone 4 and blooms on both old and new wood. So, don't prune it until early spring when you see the buds begin to swell on the branches. If the branches are not killed back by the winter weather, they will produce flowering shoots; if the branches are killed back in winter, the plant will send out new flowering shoots from the crown. Don't prune until you're sure the branches are dead or you'll be missing out on some of the potential flowers. Again, additional protection is not required but you can certainly place a cylinder of wire around it and fill the cylinder with fallen leaves.
Hope this answers all your questions!
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