Answer: You might want to burlap them this first winter as wind protection; also apply a deeper mulch in late fall, say six inches. It is also really important not to let the soil dry out before it freezes. The retaining wall planting situation is not really ideal for these plants because they quickly grow very large with correspondingly large (and thirsty) root systems. The roots may also cause the wall to bulge. I am a little concerned that the roots will be so close to the edge of the soil, and in a raised situation, and may freeze just as they would if planted in a container. There is not a lot you can do about that except wait and see.
A groundcover for hot afternoon sun might be creeping thyme or a low growing sedum, creeping phlox (P.subulata), or possibly one of the low growing junipers could be allowed to trail forward and down. Whatever you plant will grow out toward the light, then soften the look of the edge. Your local professional nursery staff may have additional or different suggestions based on a more detailed understanding of the planting conditions and your design goal.
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