Could you post a picture of it?

Here is one pic of the damage

Where do I prune here

From what I see from a google search, echium is a biennial or annual, not a shrub, therefore how you would prune a shrub does not apply. If you consider the leaves unsightly, you can pull them off. If you pull off too many the plant might look a little goofy, though.

Is this Echium candicans or Pride of Madeira? If so, this can be a more or less evergreen shrub in appropriate climates (similar to Euphorbia characias). Generally, the instructions are to cut back flowering stalks once the flowers fade to keep plant tidy and to cut the whole plant back hard in late fall or early winter to decrease woodiness and encourage fresh basal growth. Regardless, this is not a long lived plant (technically a subshrub) so encouraging seedlings may be appropriate.

And I wouldn't worry too much about pests. It's best to exercise a certain degree of tolerance regarding the "purity" of plant foliage......most pest problems tend to be more cosmetic than actually harmful to the plant itself and unnecessary spraying to control pests often causes more problems than it solves. Especially as this plant is a huge honey bee attractant.