Depends on the model, but a lot use the air from their own room, that's why they can't be installed in small rooms. Models pulling the heat from outside are more expensive and require more labor obviously, and they don't make a lot of sense for places that are bellow 0c multiple month a year as the COP will drop to 1.x and you will most likely need extra electricity for the anti frost cycles
You already dump waste hot air into your kitchen from the refrigerator during the summer. Is this much different?
It does seem a little silly to have these chains of heat pumps all working in various directions. I read about "cold district heat" in a sibling comment which circulated lukewarm water to use as a heat sink or source with heat pumps. Maybe something similar could be done with a water or refrigerant loop through the house. Probably not economical to do all the plumbing though.
A hot water heater takes much more power than a fridge
But dumping the waste cold air into the house when it's below 0C outside doesn't make much sense either.