The outdoor unit goes through heating cycles though to prevent that. I'm in Vancouver, BC, where it doesn't get that cold but my unit had no problem when it was snowing and -15C or so outside. It did have to work pretty hard though. We don't have electrical heating backup for the heat pump but we do have a gas fireplace as backup (so I know the heat coming from the vents is 100% heat pump, not an electric heater in line).
Oddly enough, it tends to snow when it's cold. Even rain can a problem since the nature of a heap pump means the unit is cooler than the surroundings.
So often for a few nights of the year, the alleged "heat pump" actually just falls back to electric heating.