Possibly mildew. Many of them around here have it. Search "rhododendron mildew".

If it is on the back of the leaf it may be indumentum. That is a highly desired characteristic that helps prevent insect damage. It is a brown fuzz but should only be on the back. It is normal on some varieties, especially ones that are Yak hybrids.

Other possibilities are:

* Sooty mold growth on stems and petioles is a symptom of Azalea Bark Scale, Eriococcus azalea, and Cottony Azalea Scale, Pulvinaria floccifera. These small sucking insects feed on the bark and exude a sticky substance that turns the stems black. A scale infestation is indicated by sooty mold on leaves, yellowing of leaves, and twig dieback. This scale is most obvious from May through June when white egg sacs may be found in twig forks. Heavy infestations over several seasons may kill plants. Overwintering immature scales (nymphs) are about 2 mm long, gray, and are usually found in twig forks. This scale primarily attacks azalea and rhododendron, but has also been found on andromeda, maple, arborvitae, willow, poplar, and hackberry. Azaleas can tolerate low populations of this scale without injury, and if there are no yellowing leaves, no treatment is necessary. Beneficial predators and parasites will usually provide adequate control of light scale infestations. Examine egg sacs for holes which indicates control by parasites, and look for predators such as ladybird beetles. To control heavy infestations, spray dormant plants with a late oil spray to kill developing nymphs on twigs. If necessary a 2% summer rate of horticultural oil may be applied in July after all of the eggs have hatched.

* If a leaf has brown areas with white spots, it probably has a local fungal infection of Pestalotia rhododendri. This is seldom controlled with fungicides and is best mitigated by good sanitation and avoiding excessive moisture.

* Grayish areas on a leaf may be caused by frost damage. If the plant variety is too tender or the plant has not hardened off and is hit by an early frost, this may occur. Application of fertilizer after mid-June my stimulate tender growth that is frost susceptible.

* Wind and cold damage is indicated when the edges of the leaves become distorted and turn brown. This occurs frequently in plants that may be in a colder climate than recommended or in a location with severe exposure. Provide protection from winter winds and winter sun. Note, boron poisoning or fertilizer burn will create the same symptoms except uniformly over the plant rather than just on areas exposed to the sun and wind.

* Powdery Mildew (Microsphaera azaleae) usually result in a grayish white, powdery coating or fuzzy white growth on upper or lower surfaces. This is more prevalent on deciduous azaleas and sometimes it affects the lower surface more. Entire leaves can be covered. In late summer and fall, small black specks may be found in the white areas. Powdery mildew is more severe on shaded plants. It is favored by the high humidity found in crowded plantings and damp locations. The disease is more severe during periods of cool, moist weather. These fungi produce spores on the surface of the infected leaves which are spread by wind currents to surrounding leaf tissue. These fungi overwinter in the bud scales for initiation of infection next season.

Here is a link that might be useful: Rhododendron and Azalea Troubleshooting