is it in a windy place?
but if you only planted it in Dec it wont have done much root growth so that could also be a factor

I would also check the soil for vine weevil grubs. They like Hebes.

I would say that it's a fair chance that its too wet; perhaps better to keep it a little moist only as it won't be growing very much in the cold weather.

I have 2 hebes, one of which hates frost and a different one which doesn't care what the weather is and looks fantastic all year. I don't know either of their names but the frost hater is variegated.