Do you know why is my hydrangea leaves burning?

The crispy edges of the leaves appear to be a indication of not enough moisture. The mulch will help keep the roots cool and conserve moisture. However, I think you need to water more frequently as it gets settled in. Be certain to water the base of the plant rather than overhead. Overhead watering can cause other foliage problems. And, take a look at our Endless Summer Hydrangea guide for additional tips on planting and care