My Rheem heat pump has a AUX heat light that come on if I turn the heat over 65 should it be doing that

Maybe. If your current indoor temp and setpoint is 65 and you push the tstat as little as 2 degrees higher it might bring on the aux. Some tstats will bring on the aux with as little as 2 degrees knowing it will take too long for the HP to achieve that temp.

If however, you are not cannot reach a setpoint over 65F then you have a problem.