This is probably due to an incorrect set . Check the old white rogers. It had an O/B switch, described here:
O/B TERMINAL SWITCH SELECTIONThe O/B switch on this thermostat is factory set to the “O”must be moved to the “B” position.
position. This will accommodate the majority of heat pump
applications, which require the changeover relay to be energized
in COOL. If the thermostat you are replacing or the heat
pump being installed with this thermostat requires a “B” terminal,
to energize the changeover relay in HEAT, the O/B switch
You need to check to see if you were energizing the reversing valve in COOL or in HEAT (( what brand is your heat pump??). Then you need to wire and/or program the new thermostat accordingly.