I think it's normal for hellebores to die back and it doesn't seem to hurt them any, but if they are just little seedlings then they may not recover. What are they ... 4" pots?

It makes me want to go to Lowes and see if they have any here.

I think I'd be tempted to slip one out of the pot and check the roots. If they look to be a healthy color and vigorous, these would probably produce new growth with some TLC. Also look for any growth points that might be developing.

Are your sure it's cold damage and not complete lack of water (possible root damage) which can sometimes happen in a box store lot, or worse - disease? My 1 yr old seedlings have breezed through ice and temperatures in the 20's with no symptoms on foliage, but then they've never had any kind of protection (like a cold frame) so they haven't been moved from one environment to another without proper conditioning.

I'd be a little skeptical, but at that price what have you got to lose?
Unless it is certain acaulescent species (which I doubt considering the source) I would expect there to be mostly green growth. My hybridus seedlings outside are all green.
As MorZ8 mentioned, look at the base of the plant and see if any new growth is apparent.

Thanks for your responses. Well, I guess I'll never know if they would have made it as they were all gone when I returned to the store last night to take a closer look at the roots, as suggested.

Doesn't that stink! (Did you check the dumpster? - only kidding - I think...) I bet you one person bought the whole lot. Or maybe they moved them...