Thermostats and heat

[Nightop]

2019 3560RL, first trip in the cooler weather. Until now we have only used the heat pump, and having a heat pump with our sticks and bricks was familiar with how there are diminishing returns the colder it gets outside.

Last night the temp was forecast to get down near freezing, so I left the thermostat downstairs on the heat pump setting and put the thermostat in the bedroom to the furnace setting and a lower setting than the kitchen thinking that once the heat pump was no longer able to keep up the heat that the furnace would turn on via the thermostat in the bedroom.

I woke up very cold this morning.

Is this normal, or did I do something wrong?

Thanks,
Greg Willhite