Don't worry about the forsythia - it's tough as old boots! But I would provide some protection if an evergreen azalea (deciduous less of an issue) and definitely for the nandinas, which are borderline at best in your zone.

Nandinas held here with only mulch and watering (the night before) when temps went down to -2F; not even leaf damage; that was way more cold than you are expecting. But someone in Arkansas told me that theirs in -9F did lose leaves but were leafing out by the time we talked.

Azaleas could have some flower/leaf damage if they started blooming or are about to bloom because the sap is flowing and it freezes. Hopefully, a quick dip below freezing and higher temps in the morning will be ok. Water them the night before and mulch underneath all year around (but be careful as their roots are in the top 4" so, do not disturb the roots much when adding the mulch.

Forsythia may lose some flowers but is tough. If it loses leaves, it will develop newer leaves in several weeks.

Good luck.