Do not cut it back until new growrh starts in spring. The old damaged leaves/branches will act as some frost protection until then .

Many hebes have been badly damaged by the harsh weather in December and some will die but there is a good chance most will recover.

When new growth reappears( assuming it does) trim off dead branches above that growth.

I had a hebe which looked totally dead in February 2010 and it was flowering well again by summer.

All you can do is be patient and keep your fingers crossed!