Heat pumps can ice-up during the winter time and in some cases the entire coil could be covered in frost or ice. This can lead to some heat pumps experiencing issues in cold areas, which can ultimately damage the system, and reduce their efficiencies.
Also, performance can suffer in cold regions. If the outside air is very cold, the evaporation phase takes longer as more air has to be blown and the refrigerant contains less heat going into the compressor, so the process might not work as well in very cold climates.