Most "evergreen" azaleas will lose nearly all their leaves in a Z5 climate. As far as protecting the flower buds, deep snow cover is best. Next best would be a burlap wind break with the burlap kept from touching the plant or evergreen boughs placed over it. Don't use mulch or a rose cone - the moisture retained and the lack of air circulation will do more harm than good.

Here is what "evergreen azalea" means: They appear to be evergreen because they grow two sets of leaves each year. Evergreen azaleas have dimorphic leaves, known as spring and summer leaves. The spring leaves unfold at the beginning of the growing season and are dropped in autumn. Summer leaves emerge in early summer and are smaller, thicker, darker, and more leathery than spring leaves. They remain on the plant during the dormant period and drop in the spring, however, summer leaves may persist for several years in warm climates. Some "evergreen" azaleas are deciduous in colder climates. Sometimes this is called being semievergreen.

I live near Reading, PA. The bud set and bloom in our area was extremely sparse this past spring on many azalea plants. Most horticulturists trace the cause back to last summer when we had lots of dreary days and not much sun. Azalea buds are formed in the summer and then open the following spring, normally. Their development is spurred by more light in the summer. If the amount of light is reduced by poor weather or more shade, then flower bud production is reduced.

If you get fall bloom, then these buds open prematurely and those that open in the fall are lost and will not be able to open the next spring. If you prune in the summer, you are removing the next season's flower buds.

Too much shade is the main cause of poor bud set. After we plant azaleas, everything around them grows and sometimes an ideal spot develops too much shade. Some shade is good, but too much shade prevents good bud set. Many times pruning the lower branches off trees and nearby large plants will give enough shade. However, some trees like Norway Maple give shade so dense that it is almost impossible to grow anything under them. When the shade can't be opened up or removed, it is usually best to move the azalea plant to a sunnier location.

Another problem is drought. After a dry summer, there is usually a reduction in the bud set. This summer was dry for us and may result in a poor bud set on some plants. I haven't looked carefully to see. To assure good bud production during a drought, it is best to water the plants thoroughly when they look wilted in the morning. It is normal for them to look wilted in the heat of the day. Do not water too much. That can cause serious diseases to form.

A third possibility is a very cold winter. Last winter had a lot of snow, but wasn't very cold. It is very low temperatures that can kill flower buds.

A fourth and very common problem is pruning in the summer. Since the new flower buds start forming in late spring and early summer, it is best to prune azaleas immediately after the plants bloom in the spring. Pruning later risks removing the new flower buds.

A fifth problem is too much of the wrong kind of fertilizer. Nitrogen-rich fertilizers can force foliage growth at the expense of flower bud production. If you feel you must fertilize, use a good rhododendron and azalea fertilizer such as Hollytone and only use it once in the spring around bloom time and only apply at half the rate on the package.

A sixth problem is when flower buds are there but fail to open. This can be caused by failure of the azalea plant to harden off in the fall, fall blooming, very low winter temperatures, drought, deer or squirrel damage, or a disease called bud blast. It is easy to identify bud blast. It leaves dead buds covered with short hair-like structrues.

Good Luck!

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