It maybe you have a thrip problem.... Flower Thrips (Frankliniella tritici): Flower thrips and various other thrips species are serious pests of daylilies. Thrips are slender, dark-colored insects, with fringed wings. Adults are less than 1/16-inch in length. To see these fast-moving pests, you need a magnifying lens. Thrips are typically found on leaves and between flower petals. Both adults and nymphs (immature insect stage resembling the adult, but smaller) feed by scraping surface cells to suck plant sap. When they feed on flower buds, the flower may die without opening. With a light infestation, their feeding causes leaves to have silvery speckles or streaks. With severe infestations, leaves and flowers are stunted and distorted and may turn brown and die.

Maybe. It happens often here because our Winter temps fluctuate a lot. Warm temperatures trick leaf buds to open early but there is little one can do about that. A cold front could easily zap them and force the plant to go back into dormancy. Generally speaking, it should not kill the plant, especially the roots which are protected by the soil and mulch. Hydrangea Anomola subsp. Petiolaris is quite tough and will develop replacements later in Spring. Keep the shrub mulched with 3-4" of any type of mulch and, when exposed to warm temperatures for a while, water the soil on the night prior to cold frigid temperatures.

With the intensity of a midwest summer, I'd say a full sun location for this plant is just a bit too severe. The brown leaves are sunburn/scorch. It is a woodland plant in its native habitat and a full sun exposure without copious amounts of water is expecting a bit much of it. It is best sited on an eastern or northern exposure in rich, well-draining but moisture retentive soil. Unless located in very heavy shade, you can expect reliable blooming once it is well enough established, which can take a number of years. Personally, I'd relocate it to a shadier location (morning sun, afternoon shade preferred) or provide some sort of protection until your shade fills in.

I've seen that occasionally on very new plants. I'd try snipping off some of the buds early on the plants that were worst impacted last spring. I don't have Festiva Maxima large enough to bloom, does it have side buds? If so I'd try removing them really early, pretty much as soon as they form. The plants I've seen it on here did actually look like they were too weak to support the big, double bloom, they were first year plants. If you're getting blooms on others and your buds look good until they just die off I don't think your planted at the wrong depth. Maybe you should try some of the bulb fertilizer that Kousa recommended, I'm following her advice next spring!