Answer: You might want to double-check with the catalog company as to the variety of verbena you have. I am only familiar with one verbena adapted to zone 4: Verbena hastata (sometimes called Blue Vervain or Simpler's Joy), which is actually rated to zone 3.
Verbena canadensis (Rose Verbena or Creeping Vervain) is rated to zone 5 but might possibly survive in a favorable microclimate; it is however usually grown as an annual. Verbena bipinnatifida (Dakota Verbena) is also quite hardy and might survive for you. It is possible your plant is hardy to the coldest part of zone 5 and then marginally into the warmer parts of zone 4 depending on microclimate.
If the variety you have really is hardy in your area, then I would suspect the problem is poor drainage. Verbenas are very sensitive to this and will winterkill if there is any extra moisture in their root zone or around the crown. You might try growing it on a slight slope or on a barely raised bed, or even try adding some extra sand to the soil at planting time.
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