The curling of hydrangea leaves at this time in Spring could be caused by one of two insects.
The hydrangea leaftier larva binds two or as many as four leaves together with strands of silk into a cup form and then feeds and rests between them. Pulling apart the leaves will reveal a half-inch-long slender green caterpillar with a black head.
The leafroller insect also causes similar damage, but rolls only one leaf, then feeds and rests within the rolled leaf.
Both insects cause unsightly damage, but wonâ€™t kill the shrubs (the infestation would have to be huge). When you see the damage in early spring, open the leaves to inspect the contents and squish the buds that you find. If this rates high in your EEEEECK Scale (and it is higher in mine), you can also remove the infested leaves, let them fall and squash the caterpillars or put them in trash if pick up is soon. Clean up the ground below the shrubs, too, because the caterpillars drop to the ground and pupate in the summer as they emerge as adult moths.
The leaftier worm hatches from its egg and travels to the terminal shoots of the hydrangea. It excretes a silken thread that binds the two unfurling leaves together. Making a dandy shelter for it to feast and pupate. Leaftier looks like a black-headed green worm. The pocket/leaf enclosure begins to become brown as the contents inside the leaf pocket has been thoroughly eaten.
Both insects tend to prefer Annabelle-like hydrangeas for some reason (H. arborescens) but the other hydrangeas are not immune to this pest. I have heard of issues with H. macrophylla and H. paniculata. Both insects also tend to return back home next year if one takes no action.
You can also use BTK (Bacillus thuringiensis var. kurstaki) against them; spray it as a preventative, when new growth emerges in early to mid-May or before in warm zones.
Occurrences of curling earlier in time than this Spring might indicate winter damage; however, you usually would also see more leaves damaged and with no insects inside. Damaged-looking, tiny new leaves that do not fully open or leaf out would suggest a spider mite infestation that affects new growth but... you would see webbing preventing the new tiny leaves from opening.