Did you get a really big root ball with it? Mature shrubs can be difficult to move if you don't get all the roots. Could you get one of those sprays you can treat Christmas trees with to prevent needle drop - they help to prevent transpiration. Don't know if you can still get them but your garden centre should know. Try keeping misting it with tepid water morning and evening.
Hope someone else will have a better suggestion!

Just keep watering it, leave the hose trickling for half an hour every day if its not raining at all. And even if its raining, unless its a torrential downpour, still water. Do it for a fortnight or more, its likely the water take up roots got more or less destroyed when dug up, so it needs ready access to water until it recovers. As it was a mature shrub, it may never recover, but its worth a try.

Have you thought of taking some cuttings as a back-up. I think the summer months are ideally the time to take hebe cuttings but we are not that far off now.