If you haven't seen leaves back by this point, I think it's safe to say that the plant has entered "permanent dormancy" (I find that phrase more palatable).
I can't find a specific thing you did wrong other than plant that rose kinda early; scratch the bark and if you find a green layer right below the bark give it some time and it may come back. But I don't want you to get your hopes up too much; that initial description was pretty grim.
Try a rugosa rose; they're hardy as a rock and will put up with most anything you give them (or not, as the case may be). If this was a boxed rose it may have been in rough shape to begin with; I'm a fan of container roses as they have a root system already (the box needs to grow roots before anything else).
Better luck next time...