During winter I tie the fronds together over the top of the palm to help keep the moisture out of the growing bud. Even if they are dead they provide some protection from the weather. If the fronds are completely brown it will not hurt to remove them. The dead fronds no longer provide nutrients for the palms. Come spring I would do nothing to your palms unless the spear pulls out. If that happens then pour hydrogen peroxide down the hole.

Of the two, Windmill is generally the hardier, BUT, yours is a young one, so it may have issues. I have mine covered now to protect from any addition WET this year. You just got to wait till milder weather. Some damage does not even show till Spring! I can overwinter a Windmill here, but Pindos suffer from the cold, and endless wettness of most winters. In the future, if you can protect the Pindo from wettness, it makes all the difference! You can remove dead, but leave as much green as possible. Good luck.

Come on Spring!