This is not the easiest of Salvias in the British climate, I have had the same problems as you have. I find that it will only tolerate a few degrees of frost........say, down to -3C.....but it MUST have amazingly well-drained, gritty soil, it will often die if waterlogged. Salvia interrupta is quite similar, but a bit easier. There are a few forms of S. candelabrum (of course some could be hybrids), best I have seen was in Lynsey Pink's garden some time ago, truly spectacular.