Answer: Hydrangeas do best when protected from wind, so it might be helpful to cover it. However, the plant will ultimately be far too large for a cone, so it would be better to plant it in a sheltered location. This is important for hydrangeas that bloom only on old wood such as the bigleaf types. Incidentally, snow is an excellent insulator so it's actually good to have snow on the ground when the cold temperatures hit.
I am not sure why your plant seems to be stunted. Make sure it is planted in an evenly moist yet not soggy soil that is rich in humous. Keep several inches of organic mulch over the root zone to help keep the sol cool and moist. If you suspect a problem with the plant itself, you might want to contact the supplier.
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