flaflwrgirl/Ann...
I'm just below the Va state line and Hellebores here do perfectly fine in super cold temps. However, like someone above mentioned I would wonder if the nursery had the plants in a wind-protected area; they may have been temperature hardy but not necessarily wind hardy.
I'd also recommend the plants be kept moist. A dry root ball will freeze and zap --- there go the feeder roots if not more. Best to keep the roots moist, especially in nursery pots 'cause there is no insulation. Those black nursery pots only hold the plant in place, not protect it like an in-ground planting.
Hope your Va friend has success. If not maybe she/he can come dig up some of mine!
Shoe (affected by wind chill all day! Brrr, and this was our warmest day in a week!)