Hello, buzzcut. Hydrangea macrophyllas begin to have trouble when the temperatures resemble those of Zone 5 (or colder). In those locations, it becomes hard to predict exactly what to do (if anything) so, I can understand your confusion... and interest.
When the Endless Summer Hydrangea first came out, their website advertised it as good thru Zone 4. Then it changed to Zone 5 and suggested some winter protection. See here:
The European Forever and Ever Hydrangeas have produced less posts about winter hardiness problems so maybe they withstand winter better. But we sure are pushing close to a natural boundary as most hydrangea macrophyllas will not be hardy below Zone 6. Some are hardy to just Zone 7.
Once I see the claim that a hydrangea is hardy to a zone, that means that it needs no protection whatsoever except for 3-4" of mulch. The shrub should also be able to bloom every without problems. Based on that, you can simply maintain 3-4" of mulch up to the drip line.
Here is some information about the Forever Series:
Do remember to water them during dry winters if the ground does not freeze.
Winter protection techniques try to save the stems from winter's fury and allow them to leaf out when Spring returns. Most people encircle the hydrangeas in chicken wire that is slightly taller than the tallest stems. Then they pile on the leaves to protect the hydrangea stems. Top the structure with something (cardboard and rocks?) to prevent the leaves from flying off. And keep a reserve of leaves; during winter, you may need to add more leaves as these settle down. Most persons try to get the chicken wire and the top about 2" or more from the end of the stems. The further away, the more protection you are giving the plant stems and the better chance they will leaf out in Spring. So next time you see people putting out bags of leaves, ask if you can take them and insulate them when temperatures are going to be cold, say below 25 degrees.
Note: snow is good insulator so do not worry much about it piling on top unless it becomes a huge pile that presses down a lot. If you get a lot of accumulation on top, remove it by hand.
Another Note: It is best to do this with dry leaves. Some people add Wilt-Pruf or add garden Sulphur to prevent rotting or fungal problems. Also, when you buy chicken wire, make sure it is much much taller than the top of the stems. That way, you can reuse it in future years even if the hydrangeas have gotten taller.