Leave them until the plant leafs out fully. Once that happens, you can safely remove any dried or dead stems that have no leaf production. Any other pruning now (other than clipping off the old dried flowerheads) will have the potential to remove the latent flower buds.

I would leave them until you know which ones are dead. I've made the mistake of cutting too early and cutting live canes that looked dead which might have sent up flowers. My mac blooms on old and new wood and the old wood blooms are earlier and fuller. I'm in zone 5 near Toronto.

When winter protecting, long stems are a pain to winter protect if you use the chicken wire technique. After it produces blooms, enjoy them for a little while (a few weeks) and then prune the long stems.

Another thing to try with long stems is to winter protect in the Fall using a technique where you bend the stems down all the way while the stems are still pliable. I have not tried this myself as I am panicky that I may break a stem but others in the forum like it because you dump the leaves on top and easily protect the ends where the flower buds develop. Since the stems are bent all the way down, this is in theory easy and they swear that the stems will pop back up in the Spring.