For dense urban areas, there may not be enough open ground available to bury the heat pump coils. Also, in colder climates, many houses and buildings use hot water or steam radiators, and heat pumps can't efficiently heat water hot enough for this type of system. Retrofitting ducts to replace radiators and switching to forced air heating can be prohibitively complex and expensive.
Methane leaks are certainly a valid concern, but if we mandate better monitoring systems and do a better job of repairing leaks when they occur, it seems plausible we could get leaks down to acceptable levels. Methane is indeed a potent greenhouse gas, but it doesn't last nearly as long as CO2 before it breaks down, so if leaks are kept to a minimum I don't know whether they would ultimately be a huge deal in the long term.