I would just try my best to tie them up and leave them be. If still green, then they are photosynthesizing and more leaves doing this early in the season has got to be a net advantage by the time we get to winter.

If it is bulletproof against winter cold and spear pull, and 15 ft tall, I would probably prune it. A one-time pruning shouldn't do too much damage to it's growth. It's not like we're talking about a seedling. I try to leave green fronds intact as long as possible, but sometimes even leaves that are only half green need to go because they don't look nice.

I had something similar happen to on of my windmills. Mine are much smaller and here on the Delaware coast we didn't get much snow this year like farther north. We did have a few nights around 16,colder than I've seen here in the past few years.

Only one windmill experienced this leaf drop. One recent leaf from last season and a healthy looking newly opened leaf and the dominant sword. All just suddenly broke off. Its recovering well with two new spears. I should have left the dropped leaves and spear stay attached for whatever nutrients the provided. The remnants of the spear that came off is open and I'm letting that be.