I guess it depends on weather after all - temperatures and moisture during fall and winter, amount of dead foliage and whether is was infected to begin with. Hmm....
I've seen and have done cutting of peony dead stems in late winter / spring and guess it would be ok if I pick them up before the spring really comes and warms up all those hibernating bacteria in the dead foliage. But I certainly will get rid of it in fall if I have powdery mildew.
