Answer: It sounds like winter damage. In regions with very cold winters, rhododendrons survive, but they don't really thrive. Rhododendron leaves roll up like cigars in the cold. It's best to plant them in places where they are protected from drying winter winds. Spraying the foliage with an antidessicant in the fall can help keep the plant from drying out; some people find it helpful to wrap the plants in burlap for the winterl. Be sure to water the plants well up until the ground freezes, so they go into winter fully hydrated.
It's very possible that your shrub is still alive, and you'll get at least a few flowers. However, I'd consult with the nursery that sold you the plant, to see if your variety is rated as truly hardy in your region.
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