Years ago I took an entire course solely on heat transfer. You cannot make cold, you can only add or remove heat. It's like you can't leave a room and turn on the dark, you can only turn off the light.
The heat pump when on A/C essentially removes heat from the room and sends it outside. That's why the A/C exhaust is warm. In the heat mode the unit is taking the outside air and removing heat from it and pumping it into the room. Once the outside air is below 35 or 40 degrees the heat pump cannot efficiently get any heat out of the air so it stops heating the room. I once left mine on while I was away and the temp dropped and when I returned the unit had iced up trying to run. Fortunately it didn't break anything.
like getting blood out of a rock.
BTW, since my HP is ducted into the main A/C ducts I get heat all the way up to my living room. It is a bit loud though.