Yes I would leave them till well after the risk of frost has gone and they are starting to show signs of growth. Perhaps give them a feed after pruning too.
This has happened to alot of Hebes this year.

Thanks Nicky

I have only just found your reply!

Is it just for the soft growth you prune. Mine r looking like this as well : (

yes I guess you take off the damaged leaves,but when the frosts are over!