It's possible it's not rooted in as yet.

How often do you water it?
And how -- sprinkler; hand; dripper; or?

So last winter was its first winter? Last winter was a really bad one!

Your plant needs time to get established. Make sure it's getting enough water or not too much. Only you can be the judge of that. Poke your finger down into the rootball and see if it's moist.

Thanks. I water about twice a week with a sprinkler. Should I leave the branches with no foliage alone til the spring rather than cutting them off?

Watering twice a week sounds excessive. I live in SE PA and only water a new plant when it shows water stress. Rhododendrons and azaleas will quickly show drought stress. New leaves will wilt and droop in the heat of the day. That is normal. If they don't recover by morning, it is either too wet or too dry.

If the plant(s) were not properly planted, they will not take up any water and die. Container plants are often root bound. These tight root balls must be opened up and thoroughly moistened before planting. If you didn't do that, it is OK to dig up now and replant correctly. Rarefind Nursery has an excellent sheet on proper planting.

Here is a link that might be useful: Tree & Shrub Planting Guide

I have a Debutante Encore Azalea blooming beautifully now, but the forecast is for freezing temps tonight and tomorrow, so I brought it inside. It's in a 15 in pot. How will it fare inside for the winter? We had a very cold winter last year and my other azalea and crape myrtle died (they were encased in snow and then the ice was relentless for weeks). I decided to bring them both in and not take any chances again. But I'm planning to take good care of them. Thanks for your suggestions and any ideas you may have.