the aux heat comes in because their output is a multiplier. At 30F, perhaps they produce 4x the heat as the electricity put in. At 0F, perhaps they produce 1.8x the heat. This means the output declines with temperature, until eventually they don't produce enough heat to hold temperature. Enter aux heat.

Cold weather heat pumps help because they stay above 1x for longer, but you also wind up needing to oversize a bit.