Hydrangea leaves that look like this contain a grub, a stage of the leaf curl moth. The moths lay their eggs on the leaf then spin a fine silk like web around the eggs to attach them to the leaf. The silk threads cause the leaf to curl protecting the eggs from predators like birds. The eggs hatch into caterpillars that eat the leaf and soon become adult moths, continuing the cycle.
Moths prefer leaves of lilac trees due to their softer texture, but if a hydrangea is next to a lilac, the moths will lay their eggs on hydrangea leaves too. As soon as you see the leaves curled on either lilac or hydrangea bushes or trees, remove the leaves and burn, crush or shred them to kill the eggs.
I saw some of these on hydrangea leaves last summer. I tried to kill the worms and eggs by spraying with tea tree oil, but it did not seem to work. I then cut off the infected leaves, which seemed to help.