All heat pumps have back up heating assistance. It is usually electrical heating strips installed inside the air handler. This is to provide a supplementary heat when the outdoor temperatures are low.

It is possible you have not wired or configured your new thermostat to work with heat pump with back up heating. If you installed the thermostat, then review the installation procedure. If you did not do the installation then you will have to call a HVAC tech.

It is also possible the thermostat is working properly, but for some reason the heating strips are not turning on. You will have to call an HVAC tech to investigate the cause and make the proper repair.

I am not an HVAC pro, just giving my experience here. Our after market (“smart”) thermostat has a setup where you can indicate if you have a heat pump. Check your instructions or call customer service for your thermostat. It’s been a while since I’ve had a heat pump, but when I did the thermostat that was installed with it had an emergency heat setting.

I assume the original thermostat worked, so why not put it back and see what happens?

Where are you located and what were the outside temps when you heatpump wasn't heating? If the system was working with the old thermostat, then that sounds like your problem.