Sorry Cynthia, very difficult to diagnose problems with plants in other countries, not least because I'm not sure whether you mean, by burning bush, Kochia, or whether you mean Euonymus alatus - one is a deciduous shrub that turns bright red in fall, the other is an annual plant which also turns red in fall, just before it dies.

This is a deciduous shrub and does turn red in the Fall. I called a nursery in my area and they said it sounds like caterpillars or spider mikes? I do not see any webbing in the curled leaves so assume it might have been caterpillars.

Spider mites, we have those here too - they are difficult to see because they're absolutely tiny, but often there's spider webbing in various places, again quite small, that indicates their presence. Tent caterpillars also can produce webbing, rolling leaves over and sticking them down with it. Yours sounds like the Euonymus I mentioned, not the other one.

Thanks again!