It ought to have gone dormant and dropped all leaves around the time where the first below 0C temperatures hit.
Was it very mild followed by a deep freeze?
This could be a risk of protecting a plant from low non-freezing to barely below 0C temperatures. If you do that, you may not trigger dormancy.
Looks like this one was completely not ready, so it likely has severe damage. Not sure what you can do. Especially since you are in zone 5 and winter just started.
Even if it is not completely dead, I wonder if it will be able to be ready for the frost wave.]
What about the branches that did shed their leaves? The ones with the flower buds? Maybe it was just the new immature growth that started growing in September and didn't harden off? And the rest of the plant is ok?
Because all those buds likely developed in September as well.