My new Gibraltar Azalea (planted early fall 2007) did amazingly well following what was a good old fashioned (heavy snow) winter in PEI. Around mid-June I was delighted to see new healthy growth and lots of blossom beginning. Then several weeks ago, everything stopped it seemed. The blossoms remained closed as I impatiently awaited what I imagined would be a spectacular full bloom. Having never grown azalea's, I did not know if this was normal (to wait so long). Then I noticed about 10 days ago everything began to wilt and the unopened blooms were falling. Coincidentally (or not) around that same time my husband spread a dark pine (?) mulch over the beds - including around the base of the azalea. Is it possible something in the mulch affected it? Other conditions seemed ideal (sun, water etc.).
As you posted, your Azalea is new and has got a heavy snow winter. It could be this combination since new plants flower buds are more sensitive to frosts than leaves buds. Maybe they chilled. It´s a matter of time. Next year the plant will be more vigorous and buds will resist. Hope this help