I run a heat pump system (standard compressor style), and live about your same lat.
From what I understand, they start to loose efficency below 30deg, and basically hit a wall at 0. I notice mine starting to go into defrost mode below 30, so I use a woodstove for heat when its really cold. It keeps the unit from running during the coldest periods.
I would leave it on, and let it decide what to do. Unless you get to where the heat cannot keep up on its own. The emergency heat section is really just that, for emergencys when the compressor fails etc..
Hope this helps some! I have been learning as I go, this is my first home with a HP. Going on the second winter, and even without wood, I always was as comfortable as needed using the thermostat in "Heat" mode.