I own one. It's mounted in the wall not in a window but it's a unit that can be used either way. We have central heat and A/C but our heat is a gas furnace. We have an addition that wasn't on the central system and that's why we have the wall unit heat pump/AC. It works pretty well as long as it isn't bitter cold outside (-20 C/ -4F isn't too rare). Also that addition has terrible insulation. (edit to add that the addition also has an ancient gas heater built into one of the walls but it hasn't been used in decades. It has been tested though, it still works but it is scary.)

So I'm pretty happy with that heat pump and it is probably much more efficient than a space heater. But if I was really broke and just trying to survive a hot spell or a cold snap I'd more likely buy a $180 AC unit and a $20 space heater unfortunately.

Where? My $300 U shaped window AC is modern quiet, tidy and efficient, but I was reading about window heat pumps being $2-3k.