I thought it was strange too bc the pic in the posting didn't have leaves so when I opened the box and saw it with leaves I was a little shocked. It looked very healthy though and they had the roots wrapped in wet paper towels and a bag around it to hold the moisture. Here is a pic of it today. I thought it looked a tad better. We are expecting rain all week so def won't be watering it for a while. I'll try putting a chair over it. Once it's established though it should be ok in the sun though right?

Tree peonies do fine in full sun when established but are fine with some shade as well.

My darkest tree peonies are in shade and they do just fine. In fact most of my tree peonies are in shade. The ones in full sun often bloom and drop their petals before I realize they are open. Having seen pictures of them in China growing in roadside ditches the healthiest ones always seemed to be naturally tucked under large bushes. The shade for tree peonies does not seem to effect the amount of bloom but does increase the length of time before they drop the petals. I have less blooms on most of my peonies this year as do others that have commented on another site.

I would have chosen to pot up the plant and keep it in a mainly shady area first. I don't know what zone you are, but here it would be late to be planting a bare-root peony.

I'm in zone 7. Yeah I didn't think about potting it until it was too late. You think digging it up would do even more damage at this point?

I think I would shade it with something if it has been in the ground for a few weeks.

Don't dig it up, just shade it with something removable. Basically what your tp is going through right now is the same thing as if someone dug up a nice sized rose bush just about ready to bloom and put it in the mail. That rose might've been a field grown plant or it might've never seen the sun before being planted out in full sun in your garden. Peonies are perennials, they behave pretty much the same way any perennial would behave when transplanted during their very short growing period. Think about it--peonies go from bare, dead looking stems (in a tree peony's case) to blooming in just 8-10 weeks; yours was interrupted right in the middle of it most active period. The best thing you can do for your plant now is to give it some TLC and leave it in place to see if it bounces back.