I would not take it off completely in march, you like me probably get some very cold nights in march. I would uncover it and get rid of the mulch but leave the cone on. Then on warm days in spring take the cone off and then put the cone on at night when the temperature dips.

I have lost more perennials to cold spring and fall weather with no cover than I ever did with our cold winters.

I use dry leaves to cover my plants and I pile them loosly. This traps air around the plants. I rake them up when they are dry and put them in 5 gallon pails and store in my shed until I want to use them. Any left over go in the compost

Dust it with a fungicide just before putting the cover on. I use the generic, dollar store version of Gold Bond medicated powder as a fungicide, since it's a mix of Zinc oxide and essential oils. Works great, and its cheap. Plus, the zinc is an essential plant nutrient which enriches the soil the next spring. That being said, I've still never had much success in getting hydrangea buds to overwinter even under cover. I think the real answer might be to get rid of the old type and replace with the cultivars in the Endless Summer line which bloom on new wood. I was really impressed with the one I put in last year, its bloomed much better than my old Nikko Blue types that usually winterkill. And, these new types don't matter if they die back to the ground since they bloom on the new wood. They now have a blue and a bicolor white/pink "peppermint" they call it.