I've been looking into getting a heat pump in the northern US and for heating it doesn't seem to be worth it quite yet. The problem where I'm at is that it gets very cold and natural gas is pretty cheap but electricity is expensive. I hope this changes soon. It would be a no brainer if I were replacing a resistive heater though.
Not to discount your experience, but heat pumps are remarkably efficient. It would actually use less gas to convert it to electricity at an industrial scale, and then use that to locally power (recent) heat pumps, than it would be to burn the gas inside your home for all of its heat.
It sounds like your area has some politics in play that are either subsidizing gas or surcharging electric. It's not necessarily a bad thing, but it does put a thumb on the scale.