Answer: Based on your description, I suspect the holes are hail damage rather than something more serious. If the leaves are still green and healthy for the most part, leave them on the plant.
Next year, you might wish to wait until the weather and soil temperature are warmer before you set out your peppers. They really do prefer warm weather.
You might also wish to try some sort of barrier against the cutworms. For instance, a "collar" of several layers of newspaper wrapped closely around the stem and partly buried works nicely.
With any luck, you'll be seeing the first blooms soon!
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