First, have you had good success starting OTHER shrubs from softwood cuttings? (I.e. is this a buddleia-specific problem, or a cuttings problem?)
Assuming you are reasonably adept at other softwood cuttings, my first guess is that you are probably just not in the right time of year. They don't really do well from really sappy greenwood or blooming wood -- you may need to wait a while longer in the season before it's mature enough to strike well.
Also people often try to root too long a piece of material -- something like 4" long is probably about right. Strip the leaves off 2/3 of it, so it looks very pathetic and buried-up-to-its neck
Oh, and many harder-to-root things do best when you take a bit of 'heel' with the cutting, so that might be worth a try too. (Meaning, select a very short, ~4" long branchlet of new growth, then snap it off with your fingers so that it peels a little short ways down its parent stem, and that little 'heel' of parent stem remains attached to your cutting)
I have had MUCH better luck with doing slow-growing cuttings indoors than outdoors-in-the-shade, too. But I don't know how much that is a universal rule vs how much it's just me
Good luck, have fun,
Pat