I live in same location as you and bought same variety of Asclepias incarnata. I can tell you that your plant(s) are just fine. That is transplant shock and it will probably lose a few more. I bought some back in April and it was so cold that they ended up losing all their leaves and have gone dormant for the season...however, they are NOT dead and will come up next Spring. Your milkweed will probably adjust well...may not bloom this year and may not luck very "pretty" but it will be fine!

Just an update: the yellowing has continued into August. I've started watering a little more and it seems to have slowed but not gone away completely. It has grown very tall (probably at 4 ft right now -- I've had to stake the plant so it doesn't fall over), but after the first initial bloom in June there has been nothing. The stems are bare from the base to about 2 ft, but it still looks pretty green and bushy at the top. It almost looks like a weird little tree at this point with the bottom leaves missing lol.

I had the same problem last year. What I was told it was a nutrient deficiency.
I do not remember what I used as a fertilizer... I think fish emulsion and within a week it stopped the yellowing.

This is partially transplant adjustment and partially the nature of the beast. In the wild, the plants have lost a lot of their lower leaves and are finishing up seed maturation...and then will be just dead twigs.