How did it do when it was a little warmer? How did it do this time last year? I don't think it is uncommon to rely at least partly on auxilary heat during the coldest months of the year. Nonetheless, I might still get a second opinion.
From
http://energyoutlet.com/res/heatpump/efficiency.html:
"At some outdoor temperature it will be too cold for the heat pump to provide all the heat the house needs. To make up the difference, heat pumps have a supplemental heating system - usually electric resistance..."
Anybody else have any ideas?