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The O2 sensor is actually ignored until the engine itself warms up (>70C), so in most cases it probably shouldn't make much difference whether it's heated or not. There are a few situations where the heater might help to keep the O2 sensor nice and toasty and within the optimal operating range, like long mountain descents or idling when driving in very cold weather.
I'm not sure if the heater circuit is monitored by the ECU and would light up the MIL if it's open. If that is the case you could always just stuff a resistor in the heater's place to fake out the ECU.
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