Toggles, I had a Lennox 2-speed heat pump in my previous house. Interestingly, the heat output on *low* blower speed DID feel very warm, likely due to the slower airflow rate through the condensor (inside, evaporator in cool mode). When the blower kicked to high speed, the air felt cooler (than on low blower), although accompanied by high-speed compressor the heat output was of course greater. I've not climbed up to check the register output directly during heat at my new house (one-speed heat pump), but I've never noticed a wind-chill effect.
My favorite thermostat thus far was a White-Rodger setback I got at Home Depot when I moved into the first house. It allowed programming continuous or auto blower on each period. The next favorite was the Lennox, which had an outdoor temp sensor that recorded the high/low each 24-hr period (auto-cleared at 12 AM), and also had a diagnostic mode that reported accumulated run-time for high-speed, low-speed, auxiliary and other such details (but I seldom checked). I'm sure I have a picture but haven't found it.
Oh and by the way, on both heat pumps, I had/have the auxiliary locked-out until the outdoor gets to 25°F or whatever is the lowest allowed setting. I'm not sure how low the ambient must get until it starts running almost continuously, but it has to be pretty low. 40°F, 36°F, even 32°F, it still cycles regularly. Bob, did you notice what was the cycling pattern when you stayed that weekend, with the "cold" snap happening? I was running the temp at 72°F both nights, IIRC. Or were you paying more attention to the dryer reversing, LOL!