Is there anymore growth going on at the tips? If there IS growth you are able to see, do not cut it off. Your plant has gone through a major stressor. Plants are able to deal with a few major set backs. If your plant doesn't get its leaves back, it will not survive.
Don't prune those tips. Pruning out dead branches is always fine and recommended.
I would give this plant Mycorrhizae, a fungus that helps a plant to be vigorous or in this case, gives your Azalea some support. The Mycorrhizae come as spores. The best place to find this fungus is in a 'grow shop'...for marijuana. They will have it for sure or perhaps a Home Depot, Lowe's Garden Store...usually any nursery will have these spores.
Indoor plants have to be planted in a sterilized medium, 'potting soil'...Mycorrhizae are in the out of doors soils everywhere...pretty much. Potting soil does not have Mycorrhizae which is fine as long as your plants are healthy. Your Azalea got hit with a rather large stressor. Plants can deal with a few of these stressors in their lifetime. The Mycorrhizae would give your plant a boost... this is just a fungus that gets along with plants very very well. Symbiotic. Win - win.
Keep your plant where it is right now. Don't move it (added stress). Water like you've been doing to keep the soil moist not soggy. Don't give it any fertilizer until it is on the mend! The only fertilizer that would help is Osmocote 14-14-14 all purpose extended release, give your plant 1/4 of what the directions say. Minuscule bits of chemistry would help but a fast release fertilizer or some organic stuff just would not be good for your plant right now. The factories that use these chemicals have been shut down until the plant gets leaves again.
Where fertilizer is concerned: Less is Best, More is Death and None is Dumb.
Your plant is living off of the stored carbohydrates in its roots. Until it is able to photosynthesize again (green leaves) that is all your plant will have to do repairs, get those photosynthesizing green leaves growing that will make carbohydrates for your plant. Plants make their own food. Once the stores in the roots are diminished, if there are no green leaves photosynthesizing your plant will die.
Fertilizer is not food. Fertilizer is as important as light, water, soil, drainage and optimum temps. Out of these 6 elements fertilizer is the toughest to understand and manage. Potted plants are far more fragile than the plants grown in the out of doors soil. You the human give the necessary elements giving the plants in your world a chance to thrive.
Thank you for the picture...I'll be back if necessary!
Note: Your plant has a chance! Keep it where it is right now but when it get growing again, find a south facing window or a covered porch during the grow season. Azaleas and their cousins grow well in PARTIAL shade in the out of doors. Consider indoors as full shade.
Make sure to only keep the soil moist, your plant has most of its factories shut down so it is not using much water. Too much water right now will cause root rot.
Raise the bottom of your pot off the surface of the saucer using bits of 1/4 or 1/2 ceramic tiles...or buy cute pot feet. They come in terra cotta just like your pot, which looks just fine for size right now. This enhances drainage! Breaks up the surface tension of the water draining from the soil.
You need to find a sterilized potting soil, cheap is best as long as it is sterilized. Make sure that NO fertilizer has been added (you are the boss of that) nor any of these water holding gimmicks, these sponges and gels! I would be considering changing out that soil AFTER your plant gets back on its roots, or feet?
The light from that window is way too low...is this a north facing window?