I think you have 2 separate bugs, the Rhododendrons are possible being eaten by the Rhodo leaf hopper these eat small holes in the leaves, I have to admit, it might look unsightly but, I have never heard of any shrubs being killed by this bug, there are other bugs that are pests to the Rhodo's Azalea bugs do much the same.
The day lily is generally trouble free from bugs ect, but the best thing to do is early morning go out and look closely at the underside of all the leaves to see if you can see any bugs, or better still IF you can post a picture close up to show the damage, that would help even more as there are so many things that it could be, however to put your mind at ease, I don't think it is anything that will kill the plants.
Depending on what you find eating the leaves, you either take a brave pill and go outside and squash the bugs between your fingers and thumb, my preferred way, or quick blast from hosepipe helps remove some bugs, or buy a spray for the particular bug, or remove the holed leaf and burn them, I really don't know of any bugs that will wipe out the whole shrub Rhodo, however I have just read there is a new disease entering UK from Europe that is causing huge damage to some tyes of these plants but no detail as yet, will keep you posted if I here more as I have lots of Rododendrons here in my large garden.
Often the culprit of chewed leaves is some type of caterpillar. By knowing what plant it is eating, it's often easy to determine if it's (going to morph into) a desirable butterfly or something else. Compare images of the critters known to eat a certain plant to the critter on your plant. If you can't find any critters, it was probably something like a grasshopper that just went elsewhere. In cases like that, any kind of treatment is usually pointless.
There is a root weevil that will eat Rhodys. They live in the soil, mostly, but will come up into the plant and eat notches out of the edges of the leaves. Often the notches are surprisingly neat and orderly, carefully spaced and sometimes look a little bit squared off. The adults are doing this. Worse, the juveniles are at work in the roots, and can kill the plant.
Day lilies are not usually much of a target for pests, but sometimes there will be something that decides that day lilies are just right for the munching. Go out at night with a flashlight, see if it is any of several pests including snails, slugs and other soil type things. I think mine are lightly nibbled by grasshoppers or related bugs. They tend to eat along the length of the leaf, so it is not as obvious as something that might eat across the leaf, chopping it off.
Loosely roll up a few sheets of newspaper and lay them nearby to trap bugs that wander around at night, then hide during the day. You can see what you caught by unrolling the newspaper into a bucket, or just toss the whole thing where the bugs cannot escape. Set out new rolls of paper daily.