Heat pumps aren't overlooked, they suffer the same thing as EVs: In the long run they are more efficient but they have a higher up-front cost.
Governments don't seem to have a good policy framework for helping manage the higher up-front cost. They do offer some tax credits, but they are pretty small (something like $500 for a heat pump, if I recall correctly). Using tax income to subsidize this is a bit mathematically problematic, because yes it helps society at large but it's not readily apparent that it will either increase tax revenue in the future or reduce tax outlays in the future, so it's a hard sell. In the US, our illustrious congress killed all the tax credits for EVs (wonder why EV sales tanked? The loss of the $7500 tax credit is a big factor... because effectively no manufacturer was eligible for it any more).
Same thing for basically any other "personal efficiency" measure. I'd love to put solar on my house, but we're already an "efficient" house so our payback period is like 15 years or something. The home market also doesn't value solar installs, so it's not like this increases the selling value of a house either which would make that payback period more or less irrelevant; instead you really do need to look at the direct ROI. Same thing for heat pumps; they don't increase the value of a home. Instead home value seems to be only about aesthetics and location, not on actual tangible efficiency or anything of that nature.