When in cooling mode, the compressor runs, and it is removing heat from the house... the fan outside needs to run to move the heat transferred from the house via the refrigerant to outside. Now, switched to heating mode, it absorbs what heat it can from outside and moves it into the house, giving up that heat in the coil in the house and moved around by the fan in the house for heat. there's no reason to turn the fan on outside since you don't need to cool it off (that heat's transferred inside instead, but the compressor needs to run to move it).
It's nice feature to have the variable speed fan as it helps keep the system more comfortable. My father has a heat pump, and without going inside the air handler, there's no way to slow the fan down, and it always feels cold since the fan runs at a fairly high speed optimized for cooling rather than heating. A heat pump doesn't make the air as hot as a furnace, and moving air can make you feel cold, so moving it slower than in the summer allows it to get hotter, and not generate the breeze that makes you feel cold. Eventually, as the outside temps drop, it will turn on resistance heat since it won't be able to absorb enough heat to keep the house warm.
Sounds like it's working okay to me.