Ever stood next to a residential air conditioner? The fan is putting out hot air. Where is that heat coming from? The house! It's pumping heat from the cool indoor air to the hot outdoor air. This removes heat from the house. Imagine the outdoor unit and the indoor unit were reversed, and it was cold outside. The same thing would happen - it would pump heat from the cool air outside to the warm air inside. This would cool the outdoors which we don't care about, but it would also heat the indoors, which we do.
Yes. All a heat pump is is an air conditioner with valves that allow the roll of the two heat exchanger coils to be be reversed, so the hot, compressed liquid refrigerant is inside, and the cold, low pressure refrigerant gas is on the outside. Thermodynamically, it takes a lot less energy to move heat from one point to another than it does to make heat, so a heat pump is a very efficient way to heat, as long as it is not TOO cold outside.
I noticed a loud noise from the engine too, especially when in the garage. When I turned the heater off, the noise stopped. Waiting to hear what the dealer tells you.