My heat pumps circulation fan seems to constantly run when Heat (auto) is on yet stops if I turn thermostat to colder but outside unit not doing anything. Why's the fan seem to stay running

If the thermostat is calling for heat, the circulating fan will run. If the outdoor unit is not running with a call for heat there could be any number of problems. The easiest thing to start with is checking the circuit breakers for the outdoor unit.