Mine is rated for -25, which where i live in southern Ontario has been reached 3 times in 50 years (wind chill doesn't count remember). And while I haven't had a heat pump for one of those days I don't think it would be a problem, after all the efficiency doesn't just drop to 0, it just doesn't work as well for that one day and my house could stay a safe level of warm for a day or 2 without heat anyway.
Despite this I am required to have an auxiliary heat source, so I get charged 30 dollars a month just for a gas hook up I haven't used.
A lot of heat pumps have normal electrical heating as a backup as well.
I had a similar problem, fwiw I have an ecobee. I simply added an intermediary step an hour or two before the final temperature so the heatpump has a chance to go. There is also a threshold for auxiliary heat lock in the settings on the thermostat itself that doesn't show up in the app which I increased which helped a lot.