That can sometimes happen if the rootball is dry when your repot it - it should be really well soaked and some of the roots teased out so that they find their way into the new compost - the azealea plant might have dried out if the roots weren't in the new soil. Sometimes, if a plant's compost is very dried out, even if you soak it the water doesn't penetrate - a tiny squirt of washing up liquid can help the water get into the compost as it acts as a 'wetting agent'.
The orange spheres are likely to be a slow release fertiliser or similar that was in the compost when you bought the plant.
Don't think taking the middle out of it will have killed it, but azelea's aren't keen on being 'hard pruned' so it won't have done it any good either.
Also people often don't realise that azaleas are forest shrubs and don't like too much strong sunshine, particularly if their roots are dry - so the sunshine we'd been waiting for for so long might have been the last straw for it. 
You can either give it another go, pop it back in the pot again, this time teasing out the roots, give it a good soaking and put it in a shady corner and see what happens, or you can get another plant. I'd probably do both 
