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Whether you cut ornamental grasses back in the fall or early spring is up to you. Dormant grasses look nice in a barren winter landscape. However, if you get a lot of snow, grasses can be flattened under the weight. They will not regain their upright form. Leaving grasses intact increases the chance of many seedlings next year unless you remove the inflorescence (seedhead).

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.

Early to mid spring is the time to prune.

Yes, mulch is beneficial in many ways.

https://www.gardeningknowhow.com/garden-how-to/mulch/benefits-of-using-mulch.htm

As long as you waited to cut them down until right before it started to warm up, then it should be OK. If they were cut in the fall, then they may have not had enough protection over the winter.

I would still give it another month or so, and if you do not see any action, then you can assume that it will need to be replaced.

In Prunedale the spring growing season can start in February, or at least by mid March. So you can prune back the fountain grass in early to mid- February before it starts to actively grow.

https://www.gardeningknowhow.com/ornamental/foliage/fountain-grass/fountain-grass-pruning.htm

https://www.gardeningknowhow.com/ornamental/foliage/fountain-grass/fountain-grass-pruning.htm