Ahaha! It was new to me too. I was watering them when I observed the change happening before my eyes. I was concerned that the plants might be dying due to too much fertilizer or water being too cold so after I had finished all my works for that day I went home and consulted with the wise google search xD And there I found that the most likely what was happening with them was that the transplanting was stressing them out. Seeing them turn back to being bright green again now weeks later confirms this.

Lavender are quite tricky plants. I am sure that the spot I chose a few years ago is not ideal for them. They prefer more dry spots and more gravel like soil. But it is most likely frost damage and don't think that one plant will recover much as only couple of branches are still green and looking alive. The other one is affected by about 30%.