Certified GKH Gardening Expert
There are two things that can keep a burning bush from turning color. One is too little sun and the other is the temperature does not get cool enough. Leaves are most brilliant in fall when there is a steady cold period. If you have been having warm snaps, these warm temps break down the chemicals that cause the leaves to be red, resulting in less brilliant leaves in the fall.
The other possibility is that it was a mislabeled shrub. You may have a green euonymus, rather than a red one. They are difficult to tell apart and sometimes the growers can get them mixed up.