[The Chief (tm)]

+1 on Spaceme's input; I don't think you'll have much heat coming from an overnight-cold engine if you happen to step inside the car after only 30-60 seconds of remote-start warm-up time.

Another thing: I can't say this is correct with 100% certainty, but what I want to say happens with mine is when the car remotely, I don't seem to recall that the lights on the climate control buttons will illuminate individually -- i.e., with the specific settings I had left it on when I shut down the car -- UNTIL I've actually pressed the brake pedal and the start/stop button.

SO, between the two above factors, you may be getting into a remote-started car that simply hasn't started blowing warm air yet, AND (w/o the lights) it looks like it isn't doing what you wanted it to. And I'm certainly not disparaging your powers of observation, but this is how mine seems to function, and I remember I thought it wasn't working right in the beginning, either.