A dehumidifier movies heat from one side to another using electricity to do the work. One side gets cold so the water can condense on it, while the other side gets hot from extracting the heat from the cold side. Heat is still generated from this process even if there are 0 water molecules in the air and no water is collected. The water does not create the heat, the electricity does.
I don't think there has to be any heat involved with collecting water molecules in the air into a larger volume of water, depending on the process used.