It's the insulation. While it depends on the location and geography, I'd wager that American homes are probably less well insulated than Swedish homes because they didn't have to be.
That contrasts quite a bit with Swedish home standards, which have long been built more air-tight and with considerably better insulated even if they're of comparable age. This has been true for decades, became even more stark in the 1980s, and likely remains very different on the balance: https://www.aceee.org/files/proceedings/1984/data/papers/SS8...
Responding to this and more generally to everyone mentioning insulation: I'm not saying that insulation is irrelevant, but when I say it fades out at low temps, I mean that if I put my hand over the forced-air duct it feels at best maybe a tiny bit warmer than the ambient air. (Which together with the forced-air circulation makes the room feel even colder, even if the temp is technically going up, but that's more a complaint about forced air, not heat pumps.) Insulation problems would mean I'm running it more and I'm paying more to heat the place than I might with better insulation. But insulation problems aren't what's causing the emitted air to feel cold.
Also, as noted, I'm sure part of it is that they gave me a heat pump that's rated to 5°C or whatever instead of -15. Probably because they expect that everyone around here has a backup heating system, and it doesn't get Sweden-cold (or Chicago-cold, for that matter) in this area. Cool cool, but that just reinforces the message that heat pumps can't hack it and if you're buying a heat pump system you really need to also buy a second system—which may not be entirely true but there's other people on this very thread with a kind of dismissive "everyone knows" attitude regarding backup heating that fundamentally undermines the original message (which was my whole point).
I profoundly disagree with the dismissive people on this thread in all but a few very extreme edge cases. There are heatpumps rated for down to -30°C. If you live somewhere where it gets colder than that, then yes, you'll need a backup system. In all other cases it's just a matter of getting a heatpump that can handle your local climate (I'd argue it's a good idea to get one that can handle at least a couple of degrees below the coldest recorded temperature in your area, just to be safe)
I realise it might sound hollow to say that I don't think you need a backup, given that I myself actually do have a backup in the form of a fireplace. Well, my house is old, even by Swedish standards. A letter I found in a jar under the floor when I was redoing the ground insulation a couple of years back claims the house was built in 1840. I have of course updated the fireplace to be compliant with modern fire safety standards, but the original construction predates heatpumps by some margin. If not for that I probably wouldn't have had a backup. I might have gotten a second pump to help with my chilly office, but that's really more about my house being too big for the pump I have than it is about heatpumps not being able to "hack it".
It depends primarily on your electricity and methane prices. In Ontario, Canada, electricity is cheap enough that heat pumps are cheaper than methane on all but the very coldest days, even if your home insulation is older than 1980 standards.
That contrasts quite a bit with Swedish home standards, which have long been built more air-tight and with considerably better insulated even if they're of comparable age. This has been true for decades, became even more stark in the 1980s, and likely remains very different on the balance: https://www.aceee.org/files/proceedings/1984/data/papers/SS8...