Oh, you are in UK... My apologies, I thought you were in US zone 9, which is certainly nothing like UK zone 9. Do not overwater and I think you planted it too close to the shed/wall. Peonies need space to grow and at least 3 ft in each direction from center makes sense. It could grow huge, so let us know if you know the variety you got. The deeper you plant tree peony - the better. I planted mine up to the first leaves, but it is hard to evaluate based on pics only. How deep are the roots? Generally tree peonies are grafted on herbaceous peonies roots, so planting it deeper makes sure that herbaceous plant is not going to develop together with tree peony.
Still cover it against sun with a chair or something like that for a 10 days and see how it goes. It may be just a transplant shock.
If you are are in UK just ignore my advice to replant it to the north-facing wall.
