Thank you for this interesting question.

Many Forsythia species and cultivars have a limited tolerance to extreme cold conditions that occur in Zone 5. While many are winter hardy in Zone 5 - 8, the buds will be reduced or eliminated in certain years when the temperatures drop to -5 ºF. or below or there are bouts of late winter freezes.  These factors will kill the buds, but not the plant.

Pruning may also have had a negative effect on this plant, if you pruned after late spring. Buds form in the summer prior to the year of blooming. The best time to prune would be right after they bloom. 

There is no guarantee that wrapping your plant with burlap in late fall will eliminate any bud dieback, but it can't hurt. Unfortunately in the past few years there has been unusual and inconsistent weather as we approached spring with late season freezes and thawing which can also disturb bud formation.

The only reliable solution to this problem is to replant with cold hardy plants. Forsythia 'Northern Gold'  and ’Northern Sun’ are considered fully hardy in temperatures down to - 30º F.