Sago palm is at best cold hardy to UDSA Zone 8.  Our temperatures were a good deal colder than that, more like Zone 6.  There are all kinds of variables in microclimate, snow cover (it is cover after all) and acclimation to cold temperatures before the freeze that have an impact on plant survival.  At this point, just wait and see if it puts out a new flush of leaves this spring.  If not, you can remove it.  Our new motto is "Aggie Horticulture 2021: Learn to live with Ugly."