I think there are a few reasons.
The parts of the country that get cold the most usually don't use electricity as a heating source. Natural gas is a ton cheaper than electric resistive heat. I don't know if a Bitcoin miner will produce heat as efficiently as an electric heater, but even if it does it's still a ton less efficient than natural gas.
If you live in an area that does use electricity for heat, an electric heat pump is going to be around 3x more efficient than electric resistive heat. Instead of creating heat, it's basically transferring heat (from the outside to inside your home). You're never in a situation where "there's no heat outside." It's never zero kelvin. Heat pumps do become less effective as the temperature gets colder, but you can get ones that are still over 2x more efficient even at 0F (-18C).
The part of the country that typically uses electricity for heat is often Maryland and south of that on the East Coast or Washington and Oregon which have temperate winters. Above freezing, a decent heat pump will be around 3x more efficient than electric resistive heating. At 50F (10C), it could be 4x more efficient. Even in a cold city like Boston, the mean daily temperature in December is over 35F. It does dip a bit below freezing for January/February at 29.9F and 31.8F, but at those temperatures a heat pump is likely to be at least 2.5x more efficient if not 3x more efficient. If New England electricity rates weren't so high, it could even be cheaper than natural gas (New England's electric rates are far higher than most of the country at 28.12c per kWh compared to 19.92c for Mid Atlantic, 16.53c for East North Central, 13.29c for West North Central, 15.11 for South Atlantic, 13.5c for East South Central, 14.07 for West South Central, 13.90 for Mountain, and 20.83 for Pacific Contiguous).
Basically, electric resistive heating is incredibly wasteful and using waste heat from computers wouldn't make that an effective heating plan compared to natural gas or heat pumps. Someone else noted that we use 150x more heating energy than computer energy so heat pumps will make a big impact while computer heat won't.
We'd never want to do more computing to harness the heat. We'd want to get that heat from more efficient sources.
> You can use heat pumps for extra gains on either, right?
No. That's not how a heat pump works. A heat pump takes heat from one place and puts it in another place. If the bitcoin miner is inside your home, all of its heat is already inside your home. If the bitcoin miner was outside your home, a heat pump could move that heat inside your home, but you'd be losing some of it along the way. Heat pumps don't multiply heat. They simply move it. If the heat is already inside your place, there's nothing to be moved.
I'd also note that data centers can potentially locate themselves near better sources of power. Some regions have a lot of hydro power which is a cheap and low-carbon way of getting electricity. Plugging in a bitcoin miner in New England where your additional demand will mean burning more natural gas or coal isn't going to be a good way to create heat. You're essentially taking natural gas, turning it into electricity and losing 60% of that heat/energy, transmitting that electricity and losing another 5% of it, and then wanting to turn that electricity back into heat. It'd be better to burn the natural gas in your home and use its heat directly.
So, there's not nearly enough waste heat for it to really move the needle on heating, heat pumps can mean a 50-80% reduction in energy usage rather than a less than 1% savings by re-using the small amount of waste heat, the coldest places typically use more efficient heating sources already, and data centers can locate themselves with good proximity to better/cheaper supplies of power than you typically get in your home.