i would cut it back by about 2/3rds the overall height. this helps force new growth and keeps it dense looking.
you should be showing some new growth along the stems soon. try scratching the branches in a few places on the lower portion of the plant with your thumbnail to see if its greenish looking inside...which is good. but if its white or grayish then its probably not going to make it.
go ahead and clear out the leaves if you like. make sure your russian sage is planted in full sun or it wont do well. alot of sun plants can handle part shade but not russian sage.

I know I don't live in OH yet, but I can tell you that I have had poor experiences here because it needs good drainage. I have very clayey soil, and even though I plant it a steep hillside, I have yet to have it winter over. I also think my friends have told me it can be late to break dormancy. Hope it helps.

I think we're a little early with this plant. If it's still looking that way in a few weeks, then worry... Mine isn't doing anything yet either. I've had it for a few years in a raaised bed and it has been trouble-free. I do absolutely nothing to it other than give it a small amt of fertilizer yearly and prune it back in early spring if it became too spindly the year before.

I uncovered and removed old growth on mine about a week ago when I first saw green growing from the base. They are growing like gangbusters now. So I would say if you see green then it is ready.

Lyn in South Central Ohio