When I lived in western Massachusetts (USDA Zone 5), I cut back my S. nemerosa `East Friesland' to the ground after the stems died back. I did not mulch.

If you do mulch, you should put it down after the tops are gone. I'd use hardwood bark mulch (no wood fibers) and pull them back when ground frost stsrts to disappear.

Where you are, mulching is important in controlling the depth of frost penetration and to prevent frost heaving of autumn-planted ornamentals.