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This is risky, as you are zone 6. This is outside of the survival zone of most azaleas. You should plant them after all danger of frost has passed. It will need a few weeks to establish so make sure there is not frost in the forecast.

Most likely, this will not survive the winter in your area. If you know someone with one that survives nearby, it would be best to ask about what variety it is. Some can survive outside of their native range, but you would have to select for local cold hardy varieties.

I'm sorry to inform you that the acid in coffee leaches into the water when it is brewed. Your coffee grounds are a great addition to your compost heap. Try an organic soil acidifier/fertilizer like Hollytone.

Heather is a very common companion with these. This article will give you more information on their care: https://www.gardeningknowhow.com/ornamental/flowers/heather/growing-heather.htm

Perennial bulbs such as daffodils, hellebores and snowdrops would be nice.
You could also plant Hosta and ferns.

This just happens sometimes, when lower growth gets shaded. You can prune these off, as they will remain unsightly. This article will give you more information: https://www.gardeningknowhow.com/ornamental/shrubs/azalea/pruning-azaleas.htm

This article may help with your azalea problem

http://www.gardeningknowhow.com/ornamental/shrubs/azalea/no-leaves-on-azalea.htm