First the heater without the engine started for 10-15 minutes, then if it’s really cold I remote start the engine for 5 minutes before driving. But I avoid idling the car cold without running the heater first.
I can only guess that your vehicle has an electric cabin heater that works if the motor is not on? If i "ran the heater without the engine on" in any of my vehicles it would just blow cold air, and for sure one uses engine waste heat for cabin heat.
On my current car it’s the latter (fuel heater). Often comes with the cold weather package package on new cars at least European ones. Those packs usually add some of heated steering wheel, heated rear seats, fuel engine/cabin heater, retractable headlight washers etc.