I know that fountain grass will not survive our winter, but am wondering if I have to dig it up or just cut it off at ground level?
Fountain Grass in Iowa
Pennisetum is perennial in zones 5-9. I would not rule out surviving in zone 4, particularly if there is snow cover during the coldest days. I suggest you cut it down to 6 inches then use the cut grass as a mulch over the plant crown. It it doesn't survive, you'll want to dig it up as it will take several years for it to compost down.