Lately many winters in Zone 5 are only Zone 6 winters. Those years it will be OK. When a cold winter does come along, you risk loosing all of the flower buds and or foliage buds. They will freeze and die. The plant may survive.

For the first three years I would put up a windbreak on the side where the coldest winter winds come from. You can use an antitranspirant spray but be sure to reapply in mid winter. You can wrap in burlap. If you do this, be sure to leave the top open. Just place 4 tall stakes around the plant and wrap burlap around the stakes, but leave the top open. If you have deer problems, make sure the burlap is tall enough the deer can't reach the plant.

These precautions will not change the temperature but will minimize the desiccation that accompanies the low temperatures. You may still loose buds.

Some people raise tender plants by growing them in a container and moving the container into a protected area in winter like an unheated garage with windows facing north. Growing plants in containers has its own set of problems.

I usually choose to err the other way by getting plants that are hardier than I need. I also have a deer fence.

Unfortunately today many nurseries buy their plants from huge wholesale nurseries that are out of state and take whatever they are sent which can be plants that are too tender. The nursery doesn't complain since the plants are in bloom with beautiful flowers and people will actually come back to replace a plant when it dies not realizing that it was too tender. This is totally unethical, but, unfortunately, not uncommon.

One thing I would do now, is go back to the nursery and tell them what you discovered. Ask them to guarantee they will replace it with a hardier variety next year if it dies this winter. There has to be some consequences for their unethical behavior or they will just continue making people think it is their fault and not the wrong plant for the climate.

I've grown Percy Wiseman for 25+ years. It certainly is hardy to the -10 to -15 range and is a particular favorite because of its unique color.

Zone ratings are at best general guidelines. If a plant is rated as Z5 hardy, it does not mean it will endure weeks of -20 temperatures. Duration and frequency of cold are importatnt factors, but not nearly as important as the specific site in one's own garden. Protection from winter sun and especially wind are essential. No rhododendron reaches its full hardiness for a number of years.

The best things you can do in addition to the types of protection suggested by rhodyman are to insure that the plant enters the winter with adequate water and has been well cared for over the summer.

Some nurseries tend to be over optimistic in their hardiness ratings while others are very conservative. I've seen Percy Wiseman listed as hardy only to 0 and to -15. Is Percy Wiseman hardy in Z5? It depends. I don't think you've really been misled, but clearly the nursery in question would fall into the optimistic category.