Yes that's true, there are efficient heuristic graph algorithms for many problems, for example the travelling salesman problem has several good heuristic algorithms that gives you a short path, but perhaps not the exact shortest.

But for problems like connected components, there is only one right answer, a component is connected or it is not, there is no useful heuristic solution. Same goes for all shortest paths, yes A* is heuristic for finding an optimally short path from a specific source to a specific destination, but to get all destination shortest paths you have to visit all the nodes anyway, so there is only one useful solution.