It sounds like they are not hardy for your location. You may want to consider two solutions: use burlap on the sides of the bushes to protect the buds from sun/wind during winter and apply Wiltpruf to prevent dessication.

Your specific location may create a microclimate that is colder than the standard USDA Zone is for your geographical location. Just wondering, do you know what varieties these rhodies are?

In NE PA there are lots of rhododendrons that do just fine except for wind burn and sun burn in the winter. The best way to avoid this is to provide protection from winter wind and winter sun. One way is to put up a wind break and sun screen with something like burlap. The trick is to just put it on the side and not over the top. The plants need good air circulation and some wind and sun protection. Many times 4 lath sticks are put up around each plant and the burlap is put around these with the top open.

The real problem is when the ground is frozen for long periods and the plants are exposed to sun and wind. This desiccates the leaves and they get burn spots. The leaves normally curl to try to prevent damage, but with too much exposure, damage does occur. Some people use an antidessicant such as Wilt-Pruf. These should be applied after the ground freezes and then again in mid winter.

My main winter problem here in PA is deer. They grab the leaves with their one row of teeth and gums and yank, ripping the leaves. I use deer netting to prevent deer damage. If applied properly, burlap could prevent deer damage if it was tall enough to keep deer from reaching in and dining.

Here is a link that might be useful: How to Grow Rhododendrons and Azaleas