Hi, 

Can you gently pry apart the leaves to see what may be causing it? It looks as if there is a leaf chewing insect or caterpillar that is nesting in the end and using silk to bind the leaves together. Bayberry is a native shrub and a host plant for a variety of native moth species so it is likely to be one of those. Any leaf damage should be fine by next season, so we would recommend you not  prune off the leaves as they are most likely a beneficial insect species. 

One moth species that uses bayberry is a Columbia Silk Moth and it looks like they use the leaf to protect their cocoon, so it could be one of those. The timing is right for many cocoon insects to be forming. 

Let us know if you have further concerns. 

Emily