That's the first flower on the spike, so it will be the first to die. It may be the case that this flower has exhausted its natural life span and is dying a normal death.
Sudden changes in growing conditions can cause flowers to die prematurely, so since the plant is new, this may just be happening as the plant adjusts to its new home, and is nothing to worry about.
Sometimes if the pollinia (little clumps of pollen at the end of the column) are removed, that will cause the flower to die prematurely. If the plant was knocked around as it travelled from the grower to the seller to your home, the pollinia may have been knocked off, and the flower is dying.
Sometimes flowers just die prematurely and there is no apparent reason, and there is nothing you should have, or even could have done differently.
If the plant appears in good health with a good root system and nice firm leaves, I wouldn't worry about it too much. Flowers will always die eventually.
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