They're going dormant. Perfectly natural. Snow is a good thing! It's the best insulator there is. If you can be sure there will be good snow cover all winter and into early spring just leave them alone. If not you can still go ahead and mulch them over the snow that's there now. The object of winter protection is to keep them dormant through the spring when the temps start bobbing up and down. You want them to stay dormant until true spring arrives and there is no more chance of a deep freeze. You will still have some cane die back from the cold and winds but the plant itself should survive and grow back.