It's just steam from the melting ice. The heat pump is doing what it's supposed to so your home continues to receive warmth. You can expect to see some frost on your heat pump's outdoor cabinet. This is normal and you don't need to worry about it.

Do heat pumps create steam?

Open-Cycle Thermocompression Heat Pumps use energy in high-pressure motive steam to increase the pressure of waste vapor using a jet-ejector device. Typically used in evaporators, the working fluid is steam.

Is it normal for steam to come out of an AC unit?

But don't worry, this is a good thing! This is actually just your heat pump during the "Defrost Mode". It happens regularly during the heating season. The outdoor coils tend to frost or ice-up during the winter - especially in moist conditions, causing the unit to loose efficiency.