Switch to LED and your heating system will need to supply that extra 0.5kW.
In a climate where you are almost always running heating, this makes the benefit of switching to LED much smaller, and considering that they are much less environmentally friendly to produce, it may even tip the scale the other way.
Depending on where the bulbs are located, they may be emitting into a ceiling cavity that exits the building's envelope more quickly than the location of the heating coil. Some bulbs are actually outside the building.
And of course, the heating system can supply 0.5kW for less than 0.5kW of power with heat pumps or (net including generation and transmission) natural gas.
Beyond that, heat pumps are still much more efficient than direct electric heating.
Also, if you have air conditioning at any point in the year, those incandescent lights are just going to make your air conditioner work that much harder.