Heat pumps do not do well when it's -40 outside. You can say "fine, but how often does it get that cold?" but consumers are not going to be happy with a heat pump if their pipes freeze during an extended cold snap.

I live in Southern Ontario and I have a heat pump with an auxiliary natural gas furnace for emergency heating. The heat pump shoulders most of the heating load but the thermostat does kick on the furnace when the heat pump starts falling behind.

It should also be noted that although heat pumps are very efficient, even when it's below freezing outside, they cannot raise the temperature of the house very quickly. Consumers are generally quite unhappy when it takes 8 hours to raise the temperature of the house by 1 degree, so the thermostat usually calls for the furnace to start up before things get that bad.