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.

Removing leaves and disposing of them is only necessary when disease is the cause. In your case it depends on whether you consider the leaves unsightly. New leaves will be on the plant in a year or two. Don't remove more than 1/3 of the leaf area if you do remove unsightly leaves.

The notch on the edge is weevil damage. Most gardens have some weevils. They are night feeders so most sprays don't work.

Leaf spots have many causes but shouldn't be a problem.

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

Thanks Rhodyman! So it sounds like all I need to do is sit tight, maintain the mulch and enjoy. The brown leaves are not so bad, and I'm sure new growth will make them less noticeable. Thanks again.