Protect it from winter sun!! That usually means planting within the winter shadow on the north side of a building. When the sun is higher, rises in the NE, and sets in the NW in the summer, the holly should get sufficient light.

They are not a shade plant, they just don't handle winter sun well in zone 5 or colder.

Thats what I was thinking too. Does that mean they are suceptable to the trunks "exploding" due to the cold/heat cycles sun can cause in winter?

No, it's not a bark issue.
In colder zones that experience prolonged periods with frozen ground and below freezing temperatures, broad leaved evergreens can suffer substantial leaf burning. The best prevention I have found is just to keep them predominately in shade during the winter. Since sun angles change so much from winter to summer, planting near (not against) a north facing wall can be sunny in summer but shady in winter, thus meeting a holly's requirements.