Did you cut back last years dead leaves at the end of winter?

That was my first thought as well.

The OP says it was planted 3 weeks ago. I've purchased root bound grasses that acted like that. The ball won't take up water because its a mass of thick roots girdled around the outside. Take it out and cut through those roots, really rough it up and try to get any potting soil out of the ball if possible. Go ahead and cut back the dead foliage but you probably won't have a decent looking plant until next year. I found out I have better luck buying small 4" pots from places like Santa Rosa Gardens. They take hold fast and will out perform larger more expensive potted grasses which seem to almost always be terribly root bound. Within the first season they are easily gallon sized healthy plants. Those gallon and larger instant gratification plants are difficult to establish and seem to take forever rooting into the surrounding soil, I quit buying them if possible and always take the plant out of the pot and check the roots before purchasing.

Thanks texasranger2! What you say makes sense. It's planted in an area that had compost applied for a year before planting...couldn't understand why it looked like that. This is the second big container size grass I've bought. The other (3 yr old size), from Sooner, is fine. I also have 2 small Miscanthus Rigolettos from Santa Rosa, planted in the same area, that look great so was baffled by this grass. I wish I had known about checking the roots in the container, before purchasing...could've saved that money:)

I bought a Gulf Muhly last year on sale. Its started drying up just like that within a week of planting. I kept it watered to no avail and had roughed up the roots before planting, it was very pot bound. It never has really recovered and this spring only put out a smattering of weak leaves which is how it still looks. Its easy to buy a nice looking grass only to have it not thrive in my experience. One year I bought about 6 Miscanthus 'Morning Light' gallon sized plants on super-sale thinking I was getting the lottery @ about $1.50 each. I ended up digging and tossing all of them within a few months due to the root bound problem, they never took hold, they just kept dying back and when I dug them out the root balls looked just like when I planted them. Others have had a period of just sitting there and will start rooting eventually into the surrounding soil.