The most common insect to produce actual holes in rhododendrons (typically more of an edge notching rather than distinct "holes") are weevils. And weevils are notoriously hard to control and impossible to eliminate. It is recommended to use beneficial nematodes at the appropriate time to control the larvae in the soil. But adults must be eliminated as well - either hand picking (going out at twilight and shaking the shrub so they fall off, then collect and drown) or spraying with something like acephate. Neem oil or other common insecticides will have no affect.

And if you live somewhere where these are common, you will never be rid of them. They live where wood is present - fences, house siding, wood piles, wood mulch, trees and brush, etc. Since 95% of all the damage they do is cosmetic, most people just live with them. And place susceptible cultivars (not all varities of rhodies are equally appealing to weevils) somewhere out of prime viewing territory :-))

ETA: the holes in those leaves are made by some form of caterpillar. Whatever it is, it is long gone now. You would need to closely examine the foliage (both tops and bottoms) when these holes first appear and hunt for the culprit, which is often very carefully disguised by color. You also have some lacewing damage going on as well. The neem should help with that!!

Thanks gardengal, I think it is a good news. Since its winter here, zone 7. Should I apply neem oil in spring as prevention? Am I just spray the dilute neem oil per instruction on the leaves (top and underside) only?

Thanks again.

Spraying won't do any good. when yu first see the damage, look for the beasts. Likely they're sizeable and feeding frm the undersides of the leaves.

When you find them, choose your method of destruction: cut them in half; drop them into soapy water; or stomp on them.

By the way, gardengal mis-spoke - she meant you have azalea lacebug damage. (Not lacewing - a common error.) It's the stippling damage seen in the lower leaves (makes them look pale) in the final image.

Jean,thanks for the clarification. So I have both caterpillars and lacebug. I hope they won't come back next year.