For what it is worth, the way that has always worked for me is to match the wires up to the letter on its terminal on the old thermostat. (For instance, if the wire on the "W" terminal in the old thermostat was brown, it goes to "W" not "Br", or whatever). Also, my limited experience with HPs agrees with mankyle's description of what a multi stage heat pump. Some climates don't ever get cold enough to need the backup and can just get away with the HP, which is why the distinction exists. But, I seem to recall that there is a way to "force" the thermostat to activate the second heating source. That would allow you to manually check the furnace to make sure that it is wired correctly and will come on when the thermostat says it should be on.
Other settings are often all in the thermostat. For instance, the reversing valve in my HP is "backwards" from the standard, so I had to choose an option in the thermostat to reverse that (otherwise it would heat on AC and cool on Heat). There is sometimes an option specifically for "Heat pump with AUX heat".