I have the same problem with white ones. I've been growing them for three years and once established they are awesome. Unfortunately they seem fragile the first year. Several new ones I purchased this year did exactly the same thing as yours, even while right next to others that did just fine. I believe mine needed more water right after I planted them. They aren't cheap so it is a bummer when they die.
I have the same problem with a few white ones. Several have died in exactly the way you describe while other ones, also new, right next to them are alive and well. I've been growing volcano phlox for three years now and once they get established they do fantastic. But, they are a bit difficult to get through the first year. My bet is I didn't give them enough water in the initial days after planting. Once they go on the decline, it is difficult to get them to reverse back to healthy.