it appears you are changing the zoom properties of the map layer itself and not the heatmap layer, I replicated the behavior you are experiencing that way. I'd suggest resetting the map layer to the defaults and instead manipulate the zoom properties of the heatmap Layer itself. You can find these in the properties of the layer under the Layer Options section. By default the map should zoom to an area encompassing the limited expanse of "heat" on your map.
Hopefully that makes sense, let us know if not.
Please check the bounds (max and min of longitude and latitude) of the data points,
You might have a stray point that causes the map to zoom out.
Make a bubble layer and investigate the locations.
David, make sure to use the latest version of QGA, zoom limits on the map and on the heatmap layer works when I test. Do also make bubble layer to check that there points in the area of interest.