I would cut all the ones that dried out by mid-to-late May... if they have not leafed out by then.

If completely dead then cut the stem all the way down.

Since it is now midJune, feel free to cut them back now :-)

FWIW, bigleaf hydrangeas leaf out pretty early here, so dead wood is pretty obvious early on...I had buds on mine as early as February. I remove any dead wood before the shrub leafs out fully, as it is much easier to see and get to without damaging the new growth.

Thank you!