I say just leave it and cut off any dead growth as it starts to reshoot in spring. Norwell nurseries (in rural Nottinghamshire, with heavy clay soil) say "Hardy through the winter of 2010: I was surprised too! Sun and a good soil is best. When young cover crowns with old leaves".
In London I would be confident about them making it through the winter!
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In London I would be confident about them making it through the winter!