Milkweed leaves going bad?

Thank you for contacting us. It is difficult to do a diagnosis from a photo. However, purpling leaves are generally due to cold temperatures (such as those we have had in the northeast lately) or a nutrient deficiency.

It is unlikely that a native plant would be suffering from a nutrient deficiency, so I suspect it was the cold. As long as new leaves continue to form, the plant should be alright.