Responding to this and more generally to everyone mentioning insulation: I'm not saying that insulation is irrelevant, but when I say it fades out at low temps, I mean that if I put my hand over the forced-air duct it feels at best maybe a tiny bit warmer than the ambient air. (Which together with the forced-air circulation makes the room feel even colder, even if the temp is technically going up, but that's more a complaint about forced air, not heat pumps.) Insulation problems would mean I'm running it more and I'm paying more to heat the place than I might with better insulation. But insulation problems aren't what's causing the emitted air to feel cold.
Also, as noted, I'm sure part of it is that they gave me a heat pump that's rated to 5°C or whatever instead of -15. Probably because they expect that everyone around here has a backup heating system, and it doesn't get Sweden-cold (or Chicago-cold, for that matter) in this area. Cool cool, but that just reinforces the message that heat pumps can't hack it and if you're buying a heat pump system you really need to also buy a second system—which may not be entirely true but there's other people on this very thread with a kind of dismissive "everyone knows" attitude regarding backup heating that fundamentally undermines the original message (which was my whole point).
I profoundly disagree with the dismissive people on this thread in all but a few very extreme edge cases. There are heatpumps rated for down to -30°C. If you live somewhere where it gets colder than that, then yes, you'll need a backup system. In all other cases it's just a matter of getting a heatpump that can handle your local climate (I'd argue it's a good idea to get one that can handle at least a couple of degrees below the coldest recorded temperature in your area, just to be safe)
I realise it might sound hollow to say that I don't think you need a backup, given that I myself actually do have a backup in the form of a fireplace. Well, my house is old, even by Swedish standards. A letter I found in a jar under the floor when I was redoing the ground insulation a couple of years back claims the house was built in 1840. I have of course updated the fireplace to be compliant with modern fire safety standards, but the original construction predates heatpumps by some margin. If not for that I probably wouldn't have had a backup. I might have gotten a second pump to help with my chilly office, but that's really more about my house being too big for the pump I have than it is about heatpumps not being able to "hack it".
Also, as noted, I'm sure part of it is that they gave me a heat pump that's rated to 5°C or whatever instead of -15. Probably because they expect that everyone around here has a backup heating system, and it doesn't get Sweden-cold (or Chicago-cold, for that matter) in this area. Cool cool, but that just reinforces the message that heat pumps can't hack it and if you're buying a heat pump system you really need to also buy a second system—which may not be entirely true but there's other people on this very thread with a kind of dismissive "everyone knows" attitude regarding backup heating that fundamentally undermines the original message (which was my whole point).