I haven't tried remote conditioning in the winter yet, but in the summer I can confirm that in manual mode at least, if the AC is "off" when I leave the car, it doesn't remote cool (well, I think it runs the fan, but the compressor doesn't run so that does nothing). It doesn't matter what the temperature setting is, that part is automatically overridden for remote climate, but the AC must be "on". I consider this a very annoying bug, because it's usually cool and dry in the mornings so no need for AC, but hot in the afternoon.
You're leaving the car with the AC manually "on", right? I wouldn't be surpised if the issue there is that it decides that even though the compressor was on, it needs heat not cooling so doesn't turn the compressor on. I wonder if setting "Auto" would help? I don't like automatic fan blasting and want to decide when the AC is on or off most of the time, so don't use the "Auto" mode.
From what I can tell, pressing front defrost automatically turns on the compressor, but setting the climate screen's floor+defrost button does not and results in windshield still fogging until I press AC on.
Have I said that the climate controls are the one thing I really dislike? I'd much rather have actual buttons to quickly select the airflow, fan, temp, and AC than the stupid climate screen, and it would be awesome if the remote conditioning allowed you to select at least temp and AC on/off.