The brown and grayish areas are from frost damage and an opportunistic fungal infection. The rhodies are not used to cold weather yet or you got unusually cold temperatures.

Keep giving them TLC. No fertilizers while they are stressed. Once they begin to leaf out, give them a little Holly Tone for azaleas at half strength.

I would throw away in the trash all the leaves that fall down as soon as possible to minimize spreading fungi.

Do not fertilize late in the growing season so they harden in time for winter.

Thank you! Should I cut off the leaves that have the fungus on them?

Yes. Or I would cut the browned out stem ends.