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I would wait until spring to prune. The act of pruning can force a plant to come out of dormancy. When a plant is in dormancy, it has the most cold protection it can muster. Bringing it out of dormancy when there is still a threat of cold can cause significantly more damage to the plant.

I am not sure on the type of plant that you are referring to, but regardless, there are very few plants that need to have their flowers removed. If the plant has finished blooming, it will not harm it to remove the spent flowers.

I think I would have to say, to make a short and inclusive answer, the main reason to prune is to make improvements to the plant. But there is not really one reason to prune; one prunes for a number of reasons, depending on the kind of plant and the circumstances. You prune to remove dead and diseased parts. You prune to strengthen the structure of trees and bushes. You prune old stuff to encourage the growth of new stuff. You prune to achieve a certain size or shape or optimum fruit or flower production. You prune for aesthetics. You prune to stop a plant from setting seeds or from going dormant. Pruning is one of the gardener's main tools for keeping the garden healthy and beautiful.

It all depends what plant you are talking about. What plant is it?

What type of flowers and/or bush do you have? For now I will link you to a generalized article on deadheading flowers here:
https://www.gardeningknowhow.com/ornamental/flowers/fgen/deadheading-flowers.htm

This link will show you all the articles Gardening Know How has on deadheading flowers of various kinds: https://bit.ly/1HXNid9