Answer: It sounds like your plant is severely stressed. Poor planting technique, under or overwatering, or other factors such as overfertilizing or accidental chemical contact could cause it to stress and defoliate.
A caterpillar would eat the foliage but would not cause it to dry up or fall off. Handpicking is probably all you need to do if you just see a few.
Your goal in watering is to supplement rain, if needed, so that the soil stays evenly moist like a wrung out sponge. It should not be sopping wet or dried out. To know if you need to water, dig into the soil with your finger, if it is still damp do not water yet. Check both the potting mix and the surrounding soil because sometimes the potting mix dries out faster than the surrounding soil. When you do water, water slowly and thoroughly so it soaks down deep and encourages deep rooting. After watering, wait a few hours and then dig down to see how far the water went; it can be surprising.
Since this is a brand new plant, I would strongly suggest you contact your retailer for assistance, especially if it is under warranty.
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