Yes this is actually the worst – when open minded people get a heat pump for "the right reasons" and then have buyer's remorse. Completely backfires the transition. Do you have a ducted or ductless heat pump? Sounds like ducted, and if so that might be part of it too. The air cools down in the ductwork and if that's not accounted for - i.e. you reuse ductwork that was meant for a furnace – you run into issues like this. And you also need a cold climate heat pump.
(disclosure/transparency I'm the founder of Quilt, a ductless heat pump manufacturer)