According to the Missouri Botanical Garden page for the plant it is inclined to flop, especially where it is humid but the implication is that should be happening later, in the summer. I've grown several other cultivars of this kind of Salvia and I don't recall their having a problem with frost but they also weren't straight from a greenhouse.
If they perked up after watering perhaps they are not getting enough water? Were they in smaller pots before you planted them, or in the pots they are in now?
Missouri Botanical Garden page for East Friesland Salvia:
http://www.missouribotanicalga...
