Azaleas can take awhile to get established after being transplanted. Sometimes it can take a good year. They may lose their leaves, and some branches may die. Give it awhile, and if it doesn't look as though leaves will regenerate, just trim off the dead branches next year.

Also, azaleas need excellent drainage and many potting soils hold too much moisture for them to be happy. Stick your finger into the root ball to see if it is wet or dry. You want to aim for moist but not wet.