I actually lost Pink Hawaiian Coral at least twice before I got it to grow in my garden. I'm in a much colder zone than you and, I think anyway, it was severely damaged by very cold weather after it emerged and never recovered. And by never recovered I mean that the emerging stems blackened and died back and had absolutely no new growth that season or subsequent years. Said I wasn't going to replace it, very frustrating to have it die before even seeing a single bud, but gave it one more try after seeing a mature, blooming bush of it in a WI garden. I planted it at max recommended depth in one of the coldest beds in my garden (comes up a full 2-3 weeks later than the warmest beds) and it's done well since then other than this year's hail storm. There are some peonies that are advertised as frost intolerant, this one isn't, but I believe it should be. Don't know about once it's established—maybe tougher then.
I'd contact Hollingsworths via email with a pic of your peony. Don't be surprised if you don't get a reply right away; they're in the process of relocating a huge amount of roots right now, you'll see references to it if you follow them on Facebook and in the new offerings they placed on their website over the last couple of weeks. If they haven't contacted you in a few weeks try again. Most likely there's nothing wrong except for cold damage but you want written proof in case we're wrong.