It would be good to know where you are located and what your winter was like as compared to a typical one, especially in terms of low temperatures and wind. The photo does seem to show typical damage from a harsh winter where temperatures were particularly low and desiccating winds were common. Cutting back the azaleas to live wood should stimulate new, dense growth. Before doing so, however, you might want to wait a while - depending on your location - to see if new leaves break naturally from the now bare stems.

What Maine said. Not azaleas in my case, but I had tea olives get fried by a sudden, late spring frost. I left the stems of the “new" growth that wilted, and the plants regrew growth from most of those stems that I thought were toast. (a few of the stems were toast however!)

It might not be a bad thing for your azalea in the long run (to trim this back, if needed), as the growth looked pretty dense and its good to have/get a little air and light throughout the shrub.