Costs are a big thing, sure, but for me it's electrical reliability. For better or worse our heating oil and natural gas supply are both more reliable than our electricity supply. I don't need the heat going out in the dead of winter when some wind storm drops a bunch of branches on power lines.
I'm aware that both my boiler and a natural gas furnace have electric blower motors. It's a lot easier to power them from a generator than it is to have a generator than can power a house worth of heat pumps.
You can have both, though. A person doesn't have to make a binary decision of heatpump OR natural gas.
Please remember that traditional aircon is also literally a heat pump. It's perfectly acceptable to have a ducted heat pump and a ducted natural gas furnace both sharing the same ductwork.
In this use, the heat pump and the furnace are just installed series with eachother, with one singular blower motor that is used for both roles. This arrangement is very similar (identical, really) to the layout that combined (heat+aircon) systems have used for many decades.
Power out, or simply very cold outside? Your house still has a natural gas furnace (which can be made work with a fairly small generator), and your rig doesn't require expensive-to-use heat strips for the coldest days either.
I'm aware that both my boiler and a natural gas furnace have electric blower motors. It's a lot easier to power them from a generator than it is to have a generator than can power a house worth of heat pumps.