We live in Denver and saw -10, -15 this winter. Our heat pump is 100% efficient down to -10, and still reasonably efficient at -25. Our whole house is on it. No gas.

Auxiliary heat is built into a heat pump due to the need for a defrost cycle. The auxiliary is the backup.

I live in upstate NY - plenty of people rely on heat pumps as a primary source. You need backup systems for natural gas and oil in this climate too, for what it's worth. They won't run when the power goes out.