Funny! Actually, based on your pictures, I think lack of water may have been your biggest problem. Watering every day doesn't necessarily get sufficient moisture to the roots if you're not watering enough each time. You could be just wetting the soil surface and it mostly evaporates before percolating down to the roots, even though azaleas/rhododendron have shallow roots.
Azaleas can take more sun in the "north" and you're actually further north than I am checking our latitudes. The afternoon sun is certainly going to be the hottest, and you've got the double whammy of the wall behind them that would catch and release even more of the heat, but if the plants have sufficient water IMHO it shouldn't be outright killing them.
I agree the soil does look like it needs some help with compost as well! Bear in mind also that azaleas/rhododendrons need an acidic soil. Do you know what your soil pH is? Also agree that mulching would be a good idea, but do make sure the soil is moist enough before you apply it.
My suggestion is to take a trowel and dig down a few inches into the soil near the azaleas before and after you water to make sure you are getting sufficient to the roots. You may need to be watering more deeply and less often.
