Try for wind protection. I covered an azalea this past winter that hadn't flowered in years and was rewarded with gorgeous orange blooms. I think the wind dries out the leaves. I have a tiny plant(not covered) of the Carol Mackie and will try to remember to cover it this winter.

von1 is right in the far northern reaches on this broadleaf evergreen--winter winds will dessicate the plant and kill it. More useful info through the attached link

Here is a link that might be useful: Daphne x burkwoodii 'Carol Mackie' cultural info