Yes, I've considered getting a heat pump; for one reason and another, I can't.
It doesn't feel right to talk about the "efficiency" of a heat pump system; talk of "1W in gets you 3W out" isn't right, because you didn't magic those 3W out of thin air. It's more like "4W in gets you 4W out". It seems wrong to say that a heat pump system is "400% efficient".
I thought efficiency was a measure of how much of the work[0] going into a machine is transformed into the intended output work. I suppose you could say that this heat delivery machine is inefficient if a lot of the input work is expended on producing torque, or raising heavy stuff. But even that eventually turns into heat; just in the wrong place.
[0] I hope I'm using "work" and "machine" in the technical sense, so that "work" means displacement against a force, and a "machine" is any device for converting work from one form to another. Effiency is well-defined for that kind of machine: it's just the ratio of work in to work out, the output being what you want; so "efficiency" intrinsically depends on what your intentions are for your machine. .