Sorry, I should have said that they are very vulnerable in spring until they are fully open. I do protect from frost early in spring, they are almost open now, and so are fine. We have not had much frost so they have been ok. The one that is very tender is Kiyohime Maple, I have kept mine under cover until it is fully open.
I would leave the damaged leaves on, but it is up to you if you prefer to remove them