I have routinely removed the foliage each season without encountering any problems. 'Evergreen' perennials are not exactly the same as a broadleaf evergreen shrub -- by the end of a full growing year, the foliage is inevitably tattered, shopworn and often distressed by various leaf spots or fungal lesions. The vitality and energy of the plant is stored in the root system - what photosynthesis taking place in midwinter is minimal. Removing the old foliage in late winter that has paid its dues and before any harboring pathogens can take hold of the new growth is a relatively common occurrence with a variety of plants, including acaulescent hellebores, epimediums, various evergreen ferns and evergreen grasses or grass-like plants. Every grower and hybridizer of hellebores I know follows a similar procedure. It is a widely accepted and harmless practice.
