The only thing you will get out of a heated O2 is the capability of a longer life because the lead in the gas will burn off of a hot O2, versus stick to a non-heated one. Then again, if you just jump in your car, immediately crank and start it, it is all for nothing anyways. Where you would benefit with a heated O2 is if you key on, let it sit for 40 seconds to a minute(I would think that would be long enough for it to heat up), then start it... You would be letting the heated O2 do it's job.
Once the O2 sensor goes bad though, you still have the same potential for damage.
Let me know if my logic is incorrect...