Well, since I have never lived in a house with a heat pump, I don't know if I feel differently about the same heat loss, say poorly insulated leaky house. But "comfort" is totally a subjective concept. Drafty cold air coming from the window may feel very comfortable in a toasty room for someone, while the same drafty cold air may feel unbearable for someone else who is cold sensitive. I would think the situation is similar either the room is heated by a heat pump or by an oil burner assuming the temperature setting is similar. I experience this all the time when I ride our PP with my wife either heated by a heat pump or by an engine. She likes steady warm air and a constant temp of 72F or above while I can't stand the heat setting anything higher than 68F and hate warm air blowing to my face or body. Even in the middle of winter, I prefer to crack open the window to get fresh air which my wife will absolutely despise.