My parent tried heat pumps twice. They are incapable of even handling the usually not-very-severe winters of central Texas without resorting to turning on their pathetically weak resistance heaters, an those can cost nearly $100/day to run! Their second Gen system was much newer and more expensive, but not much better.

The definitely are not capable of handling any subfreezing temperatures. Natural gas is, overall, FAR more efficient for heating when the supposed efficiency of the heat pump gets slammed by the inefficiency of electric heat.

So that answers the OP's question of why we don't use them: They're fiddly, expensive to buy, and both don't work in, and are insanely expensive to operate in the cold.