You'll get both answers depending on people's preferences. I personally
leave everything until the last possible minute in the belief that the dead
heads provide places for stuff to live, food for the birds and some shelter
for the new growth.

When you do come to cutting back the hydrangea it's usually a good idea not
to do it too hard initially so that if you get a late frost which kills the
tips you can prune back again to a lower bud.

Martin