Here's an ok article on leaf rollers. Not sure about the specimen in the last picture but could be an immature larvae knocked out of it's nest. This looks like leaf roller caterpillars of some sort of variety. They roll themselves into a leaf, usually a young leaf and using silk pull it around themselves to get protection from the environment.
There is a very small window where this happens which is now. I'd cut those leaves off and put into your compost pile. I'd also clean up all that chunky mulch and certainly pull up all of the periwinkle (if that is the ground cover in the background). Sorry, I have a personal hatred of periwinkle. Every single time someone plants this stuff in their yard it takes over. Great place for slugs, snails, pill bugs, earwigs and leaf rollers to hide to mention just a few. Periwinkle literally smothers every single shrub, perennial, conifer...and is the dickens to remove. Talk about one of the worst weeds in the world! Sure is pretty in a hanging pot or when brand new but I worked hard to keep my mouth shut and not saying 'I told you so'...arrggghh. Is that periwinkle I see in the back ground?
The Rudbeckia will be fine, just cut those leaves and tips off. This will only make your Rudbeckia more dense and more floriferous. Your Rudbeckia is in need of some fertilizer but don't add any. Get rid of the chunky bark stuff and I believe it will come around after the leaf roller stuff. If you haven't fertilized think about a bit of Osmocote...later. That periwinkle will suck the chemicals from your soil faster than your other ornamentals are able. Make sure your fertilizer is lower in percentage than the phosphorous and potassium so that your Rudbeckia is able to flower!
Need to know if you've fertilized or have used any herbicide/pesticide lately. Chunky mulch, debris of any kind, old lumber those rocks people like to line their beds with are just great 'condominiums' to house mostly pests you don't want to proliferate.
Using pesticides for this is kind of overkill. Just cutting the leaves off is enough. Being vigilant as you have been is the best thing. The window of damage is small. This doesn't happen all year long unless there are condominiums for pests to inhabit out of sight out of mind until the next part of their cycle.