Bay Leaf Trees

It sounds like they were both somewhere warmer than you have them now.
The one that dropped its leaves went into shock and is now recovering, the other may have been a little hardier but is suffering now or is also suffering from something else.
First thing I would do is to knock it out of its pot and check the roots. Vine weevil love bay and chances are there is no poison in the soil to kill them because it is an edible plant. If that is not the problem then it may be that there is too much compost or it is too wet. Check the roots and see how much of a root ball there actually is. Bay hate being wet and most that you puchase are planted in multi purpose (soggy) rather than John Innes which is soil based and drains freely.
Hope that helps.

In addirtion to what Jess has said I should give the taller one a bit of a trim, but make sure you leave some greenery on branches you cut so as to keep the sap moving.. You can treat the soil with Provado to kill the Vine Weevil if they are doing it.