A sudden change of environment will always trigger leaf drop in Salvias, especially bringing in plants that are acclimated to cool, sunny conditions to warmer, darker ones. New foliage will replace the old. Watch out for root rot or inadequate roots, though. Digging up plants is the equivalent of a vigorous root pruining, and if the foliage is not cut back, the plant will drop leaves to restore the balance betweel leaf surface area and root mass.

For a fast growing sage like Pineapple sage I'd consider trying to start cuttings now and growing the cuttings through the winter instead of wintering a large plant. Small cuttings will be a lot easier to place on a bright windowsill than a full-sized plant. If you plant small rooted cuttings in the spring you can have nice large plants by fall when they bloom. I am not sure if the same logic applies to the other two, which in my experience are a little slower growing.

Chiapensis is capable of going semi-dormant, holwayi less so. The latter can be cut back and will resprout new leaves at the nodes providing the plant was robust and not severely root pruned when dug up.