Q. Why do my Rhododendron leaves curl up?
Rhododendron leaves curl up sometimes: it's a natural process.
Here is some information on the habit from The American Society of America-
“Some rhododendrons protect themselves from winter dehydration by drooping and curling their leaves as temperatures decrease. Leaf movement occurs rapidly and it is reversible as temperature warms. Because rhododendrons roots are very shallow, it's important to use a thick layer of mulch to provide protection from the cold. It'll also slow water evaporation from the ground, helping plants to stay hydrated. On warm days, water your plants so they have a chance to survive cold periods.”
More here from the Rhododendron Society http://www.rhododendron.org/blog/
Hope this is helpful