Depends on the plant. Some branches will snap with too much snow, or especially with ice. Others bend easily and actually seem to like being insulated by the snow. By and large I tend to leave the plants to fend for themselves.
I would probably leave the plants alone especially if it is windy in your locale. You are more likely to damage the plant brushing it off while it is cold. Snow shouldn't bother the plant and can help insulate it from the cold night air.
Plants that are completely covered will be insulated from cold.
As mentioned branches that have heavy snow on them are apt to break if the load gets too heavy or you get too aggressive trying to remove it...
The sun will eventually melt away what the wind leaves behind... :smile:KennyV
