There's no reason you "should" know this stuff - so much of gardening is finding out as you go along!
There are different kinds of hardy perennials. Some go into a total collapse situation at frost and retreat underground for the winter - a vanishing act. Others are semi-evergreen or evergreen, which means that they keep some green structures going above ground in winter. These can sometimes look a bit tatty when we get to the really dark days, but they will leap back in spring with new growth. Working out which is which is important, because you don't really want to be giving some of the semi/evergreen ones a drastic chop to the ground since they are designed to keep on trucking slowly through the winter.
If a plant is hardy but dies back completely, I generally leave it for as long as possible for three reasons - first, it still looks OK and it's a shame to take choppers to a nice-looking plant (with climate change, things can still be flowering quite abundantly really late in the season). Secondly, it's worth letting them retreat at their own pace - the plant gathers energy back into itself for the winter, so if you chop it down too early, you will weaken it. Thirdly, some things will self-seed if left.
The things you list sound largely semi-evergreen.
Verbena bonariensis is, and will self-seed if you let it. The stems are good for insects over the winter and they also give you some structure. However, if you're very exposed, as aircooled rightly says, they may break and bend and look untidy, in which case it can be a good idea to cut back for the sake of your sanity. Similar case for fennel - in a mild winter in a mild, sheltered part of the country, the stems can look lovely and are worth keeping for as long as possible!
Erysmium - if these are annuals, I'd leave them til they've finished flowering then remove. There are perennial forms, however, which you don't want to remove!
Polemonium - can vanish or be semi-evergreen, just go with whatever the plant does!