Paris and Vienna are small (3 and 2' respectively), but Venice and Berlin are hardly could be called dwarfs with their 4 to 5' heights. Cold hardiness has yet to be determined, but they less likely to be the best choices for z5.

I had the same problem this year with a florist hydrangea that I've been trying for years to get blooms out of. I did the same as you, just kind of wrapped it in burlap, and surrounded it with bags of leaves and covered it with pine needles. Like you, when I uncovered the plant, I had lots of bright, healthy green buds, most of which shrivelled up and fell off within weeks. It could be that even though it seemed warm enough to me to uncover the plant, it may have been too early for the hydrangea. However, more likely as Luis points out, the straw or in my case pine needles and bags just didn't provide as much protection as it needed once everything settled beneath months of snow, and rain. Anyway, sorry that happened, I know how frustrating it is. The links Luis provided have great information, I read a lot of Hayseedman's thread last fall and will probably try some different methods this coming fall again. If I haven't moved by then, in which case it will be someone else's problem. :p

If you change your pruning time, perhaps, to before leaf fall with enough time to allow any flower buds to develop from further down the stem. According to the skeletons left on the plant - they flower at the tips. If the old flowers are not removed the plant develops fresh buds at the node below. Mine is on a west-facing wall but it doesn't get the full force of the afternoon sun. It took a few years to settle in, then start to flower - and it's cut off at 2m so it doesn't invade the neighbour's Camellias... a pH of around 6, fairly heavy soil, neglected in summer, no mulch apart from the passing Parachetus, and fighting for root space with Stachyurus. (Not a benign environment.)

If Annabelle is blooming and the others are not, that tells me that there may weather related events that are killing the flower buds. Paris develops invisible flower buds in July-August (August-ish in northern states) so one has to take care that they do not get killed by cold, lack of water or deer. If the weather gets too cold in winter and the stems die off, all Spring growth will originate from the base but those brand new stems will not have flower buds until they normally develop them again in the next July-August period. Mopheads and lacecaps like Paris only bloom on old wood so they tend to have blooming reliability issues in Spring in cold zones so, some people either get rebloomer mopheads that produce bloom from old wood and new wood or they get new wood blooming hydrangeas like Annabelle and paniculatas. To improve the odds of bloomage in your favor, I would suggest making sure you mulch well and that you also winter protect the shrub when they go dormant in the Fall. Then a couple weeks after your average date lf last frost, remove the winter protection. If you apply enough winter protection, the stems and the flower buds should survive and leaf out in Spring. Do a search in the forum for 'winter protection' to see what people do. Usually, one puts chicken wire around the plant, pile mulch or dried out leaves in the Fall and top with cardboard and a few rocks. The chicken wire should be taller than the plant is supposed to get and wider. If your garden does not produce enough leaves to pack a whooooooole bunch inside the chicken wire then try using mulch. Get chicken wire with small holes if using mulch so the mulch will not get out thru the holes.