Dried up foliage is not doing anything for the plant and should be removed. It can harbor disease issues and looks pretty funky :-) Acaulescent types of hellebores - like x hybridus - should have old foliage cut back routinely each year and no need to wait until it is dry or dead looking.

You are fine as long as there is healthy, green foliage on the plant. No healthy, green foliage at all means your plant is seriously ailing, if not dead. I wouldn't necessarily toss them immediately - they can sometimes rebound from very adverse circumstances - but it doesn't sound promising.

Thanks Gardengal. That's what I figured. I checked again today and everything has some green foliage except Pink Frost. It was a really healthy plant to start with so that puzzles me but we did have a drought all through May and maybe it didn't get enough water even though I tried to water everything new. Pink Parachutes hasn't grown new foliage but what it has is still green although blown over. I think the others have all grown some new leaves even if just one.

'Pink Frost' is not an xhybridus - it is a ballardiae hybrid, so signficantly different parentage. And it is a caulescent type as opposed to acaulescent - flowers and leaves on same stem. These only have their foliage cut back once the blooms have finished, so two birds with one stone :-) Cut the spent stem to the base of the plant. But like all other hellebores I have encountered, it should have pushed up new growth from the root crown while still in bloom. If this is missing now - no green at all - I'm afraid you may have lost this plant.