Hydrangeas like many landscape plants here in Michigan are susceptible to a number of pests and diseases.         https://homegarden.cahnr.uconn.edu/factsheets/hydrangea-diseases-and-pests/

   Your photo shows what appears to be a very healthy looking shrub with some leaves showing pest damage.  As always, please closely inspect the plants for any signs of aphids, mites, caterpillars or beetles. (honeydew, webs or seeing the pests present on or around your plants).

   It looks like something is feeding on your hydrangea's  leaves.  The appearance is most consistent with slug damage.                                                                               https://extension.umn.edu/yard-and-garden-insects/slugs

   Maintaining  the garden to make it less favorable for slugs, hand picking any slugs you see, consider creating a physical barrier around the base of plants with garden diatomaceous earth and using slug baits either commercial or DIY (beer/yeast) are measures you can take to reduce slug damage.

You are correct.  It is an insect and it maybe munching on a few of your hydrangea leaves.  The photo is of a leaf katydid also known as a bush cricket or false katydid.  They are considered harmless, and although they feed on leaves, they usually exist only in small numbers and so do minimal damage. Even though I think slugs are to blame for your plant damage, I suggested a close look for any signs of other pests or diseases. Good eyes! You found a katydid!  It should not represent a problem to your landscape.

https://mdc.mo.gov/discover-nature/field-guide/katydids            https://www.canr.msu.edu/news/michigan-insects-in-the-garden-week-12-katydids  https://apps.extension.umn.edu/garden/diagnose/insect/general-curiosity-insects/beetles/large/katydid.html