My macrophyll hydrangeas always had dieback here and I would prune that off once they budded out and you could tell what you lost. Otherwise there is no reason to cut off living branches. That being said - they most likely die back all the way in MN.
My panuculatas I prune off the old flowers yes, similar pruning time as above.
It will bloom even if you cut it back, you're in MN so I'm guessing about zone 4? In your climate any buds that formed on old wood likely froze over the winter, so any blooms you get will be the ones that form on new wood anyway so you're not significantly reducing the number of blooms you'll see by pruning it now. This is the whole reason why cultivars like 'Endless Summer' were developed so that H. macrophylla can be enjoyed by people who live in climates like yours where the older macrophyllas would never bloom because the buds froze every winter. That being said, I wouldn't do any pruning unless there are dead branches or if the shrub has gotten really overgrown.
I'm in zone 5 and some you cut back in fall and some you cut back in spring. Over here, the Endless Summers get cut back in early Spring. Once you see the older growth, defined by its obviously dead looking stems, you can break off the old growth by hand. Good luck.