The defrost cycle.
Winter frost on a heat pump is normal. The steam and the noise are the system clearing it.
A heat pump in heating mode pulls heat out of outdoor air. That makes the outdoor coil the cold part, and when it drops below freezing with any moisture about, frost forms on it.
Frost insulates. Enough of it and the coil cannot absorb heat at all. So the system periodically runs a defrost cycle: it reverses itself to cooling for a few minutes, sending hot gas out to the outdoor coil, which melts the frost off.
Why it looks alarming
During defrost the outdoor fan usually stops, the unit changes note, and melting frost on a hot coil produces a cloud of steam. People reliably mistake this for a fire.
It is normal. It lasts a few minutes, then the unit reverses back and carries on heating. Most systems also run auxiliary heat during defrost so the house does not get a draught of cold air.
When it is a fault
Frost that never clears. If the coil ices up and stays iced, defrost is not running. Usually a defrost board, a defrost sensor, or a reversing valve not shifting.
Defrosting constantly, in mild weather, which wastes energy and wears components. Usually a sensor reading wrong.
Running defrost in summer. That is not defrost, that is something else, and the ice guide covers what summer ice actually points at.
The Phoenix version
This matters less here than almost anywhere, because the Valley gets few nights cold and damp enough to frost a coil. Where it does come up is on genuinely cold winter mornings, and on systems at higher elevation outside the metro.
If your outdoor unit is steaming on a January morning, nothing is wrong. If it is a block of ice in July, something is.